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34

APPML
2016

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

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

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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 [4], 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. Key words: Stochastic volatility; 2-hypergeometric model; implied volatility; series expansions. Mathematics Subject Classiﬁcation: 91G20; 91B70; 35A35.

Nicolas Privault, Qihao She

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Added	29 Mar 2016
Updated	29 Mar 2016
Type	Journal
Year	2016
Where	APPML
Authors	Nicolas Privault, Qihao She

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