Option Pricing for Stochastic Volatility Models: Vol-of-Vol Expansion

S. M. Ould Aly

doi:10.1137/110848682

Option Pricing for Stochastic Volatility Models: Vol-of-Vol Expansion

SIAM Journal on Financial Mathematics ◽

10.1137/110848682 ◽

2014 ◽

Vol 5 (1) ◽

pp. 729-752 ◽

Cited By ~ 1

Author(s):

S. M. Ould Aly

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Efficient Asian Option Pricing Under Regime Switching Jump Diffusions and Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.3575594 ◽

2020 ◽

Author(s):

Justin Kirkby ◽

Duy Nguyen

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Regime Switching ◽

Asian Option ◽

Stochastic Volatility Models ◽

Jump Diffusions ◽

Volatility Models

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A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing

SSRN Electronic Journal ◽

10.2139/ssrn.1123505 ◽

2010 ◽

Author(s):

Junye Li ◽

Carlo A. Favero ◽

Fulvio Ortu

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Spectral Estimation ◽

Stochastic Volatility Models ◽

Volatility Models

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High-Order Compact Finite Difference Schemes for Option Pricing in Stochastic Volatility Models on Non-Uniform Grids

SSRN Electronic Journal ◽

10.2139/ssrn.2295581 ◽

2013 ◽

Cited By ~ 5

Author(s):

Bertram Düring ◽

Michel Fournie ◽

Christof Heuer

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Stochastic Volatility ◽

High Order ◽

Difference Schemes ◽

Finite Difference Schemes ◽

Stochastic Volatility Models ◽

Compact Finite Difference ◽

Volatility Models ◽

Uniform Grids

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High-order ADI scheme for option pricing in stochastic volatility models

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2016.09.040 ◽

2017 ◽

Vol 316 ◽

pp. 109-121 ◽

Cited By ~ 9

Author(s):

Bertram Düring ◽

James Miles

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

High Order ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Adi Scheme

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High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1646885 ◽

2010 ◽

Cited By ~ 3

Author(s):

Bertram Düring ◽

Michel Fournie

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Stochastic Volatility ◽

Finite Difference Scheme ◽

High Order ◽

Stochastic Volatility Models ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

Volatility Models

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Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs

Mathematics and Computers in Simulation ◽

10.1016/j.matcom.2013.05.007 ◽

2013 ◽

Vol 94 ◽

pp. 55-75 ◽

Cited By ~ 9

Author(s):

J.L. Fernández ◽

A.M. Ferreiro ◽

J.A. García-Rodríguez ◽

A. Leitao ◽

J.G. López-Salas ◽

...

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Option Pricing in Multivariate Stochastic Volatility Models of OU Type

SIAM Journal on Financial Mathematics ◽

10.1137/100803687 ◽

2012 ◽

Vol 3 (1) ◽

pp. 66-94 ◽

Cited By ~ 38

Author(s):

Johannes Muhle-Karbe ◽

Oliver Pfaffel ◽

Robert Stelzer

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

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Stochastic Volatility Models with Application in Option Pricing

Journal of Statistical Theory and Practice ◽

10.1080/15598608.2010.10412003 ◽

2010 ◽

Vol 4 (4) ◽

pp. 541-557 ◽

Cited By ~ 2

Author(s):

H. Gong ◽

A. Thavaneswaran ◽

J. Singh

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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An Efficient Convergent Willow Tree Method for American and Exotic Option Pricing under Stochastic Volatility Models

The Journal of Derivatives ◽

10.3905/jod.2019.1.092 ◽

2019 ◽

Vol 27 (3) ◽

pp. 75-98 ◽

Cited By ~ 2

Author(s):

Junmei Ma ◽

Sihuan Huang ◽

Wei Xu

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Exotic Option ◽

Exotic Option Pricing ◽

Tree Method ◽

Willow Tree

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Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type

Mathematical Finance ◽

10.1111/1467-9965.t01-1-00023 ◽

2003 ◽

Vol 13 (4) ◽

pp. 445-466 ◽

Cited By ~ 14

Author(s):

Elisa Nicolato ◽

Emmanouil Venardos

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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