Option Pricing in Sandwiched Volterra Volatility Model-Reference-Cited by-同舟云学术

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Option Pricing in Sandwiched Volterra Volatility Model

Published:2024-09-09 Issue:3 Volume:15 Page:824-882
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Di Nunno Giulia¹^ORCID,Mishura Yuliya²^ORCID,Yurchenko-Tytarenko Anton³

Affiliation:

1. Corresponding author. Department of Mathematics, University of Oslo, Oslo 0851 Norway and Department of Business and Management Science, NHH Norwegian School of Economics, Bergen 5045 Norway.

2. Department of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, Kyiv 01601 Ukraine and Division of Mathematics and Physics, Mälardalen University, Västerås 722 20 Sweden.

3. Department of Mathematics, University of Oslo, Oslo 0851 Norway and Statkraft AS, Oslo 0216 Norway.

Funder

Core Research for Evolutional Science and Technology

Norges Forskningsråd

Stiftelsen för Strategisk Forskning

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Reference82 articles.

1. The characteristic function of Gaussian stochastic volatility models: an analytic expression

2. High order discretization schemes for the CIR process: Application to affine term structure and Heston models

3. Malliavin Calculus in Finance

4. Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts

5. On the Curvature of the Smile in Stochastic Volatility Models

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