Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
Author:
Affiliation:
1. School of Mathematics, Monash University, Clayton, Victoria, Australia
2. CSIRO Data61, Clayton, Victoria, Australia
Funder
Australian Government Research Training Program
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2021.1993445
Reference36 articles.
1. A generalization of the Hull and White formula with applications to option pricing approximation
2. Efficient Simulation of the Heston Stochastic Volatility Model
3. Exchange option pricing under stochastic volatility: a correlation expansion
4. Pricing options under stochastic volatility: a power series approach
5. Time Dependent Heston Model
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Higher order approximation of option prices in Barndorff-Nielsen and Shephard models;Quantitative Finance;2024-09-10
2. Erratum for ‘Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility’;Stochastics;2024-04-03
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