Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model

被引：4
|
作者：
Privault, Nicolas [1 ]
She, Qihao [1 ]
机构：
[1] Nanyang Technol Univ, Sch Phys & Math Sci, Div Math Sci, Singapore 637371, Singapore
来源：
APPLIED MATHEMATICS LETTERS | 2016年 / 53卷
关键词：
Stochastic volatility; 2-hypergeometric model; Implied volatility; Series expansions;
D O I：
10.1016/j.aml.2015.09.008
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We derive closed-form analytical approximations in terms of series expansions for option prices and implied volatilities in a 2-hypergeometric stochastic volatility model with correlated Brownian motions. As in Han et al. (2013), these expansions allow us to recover the well-known skew and smile phenomena on implied volatility surfaces, depending on the values of the correlation parameter. (C) 2015 Elsevier Ltd. All rights reserved.
引用
收藏
页码：77 / 84
页数：8
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