Target volatility option pricing in the lognormal fractional SABR model-Reference-Cited by-同舟云学术

Target volatility option pricing in the lognormal fractional SABR model

Published:2019-03-08 Issue:8 Volume:19 Page:1339-1356
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Alòs Elisa¹,Chatterjee Rupak²,Tudor Sebastian F.³,Wang Tai-Ho⁴⁵

Affiliation:

1. Departament d'Economia i Empresa and Barcelona Graduate School of Economics, Universitat Pompeu Fabra, c/Ramon Trias Fargas, 25–27, 08005 Barcelona, Spain

2. Department of Physics, Center for Quantum Science and Engineering, Stevens Institute of Technology, Castle Point on Hudson, Hoboken, NJ 07030, USA

3. Division of Financial Engineering, School of Business, Stevens Institute of Technology, Castle Point on Hudson, Hoboken, NJ 07030, USA

4. Department of Mathematics, Baruch College, The City University of New York, 1 Bernard Baruch Way, New York, NY 10010, USA

5. Department of Mathematical Sciences, Ritsumeikan University, Noji-higashi 1-1-1, Kusatsu, Shiga 525-8577, Japan

Funder

Stevens Institute of Technology

Natural Science Foundation of China

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2019.1574021

Reference17 articles.

1. Bridge representation and modal-path approximation

2. A generalization of the Hull and White formula with applications to option pricing approximation

3. A decomposition formula for option prices in the Heston model and applications to option pricing approximation

4. Malliavin differentiability of the Heston volatility and applications to option pricing

5. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

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