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2016

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

3 years 23 days ago
Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
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
Added 29 Mar 2016
Updated 29 Mar 2016
Type Journal
Year 2016
Where APPML
Authors Nicolas Privault, Qihao She
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