Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/83341
Title: Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
Authors: Privault, Nicolas
She, Qihao
Keywords: 2-hypergeometric model
Stochastic volatility
Issue Date: 2015
Source: Privault, N., & She, Q. (2015). Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model. Applied Mathematics Letters, 53, 77-84.
Series/Report no.: Applied Mathematics Letters
Abstract: 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 Han et al. (2013), 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.
URI: https://hdl.handle.net/10356/83341
http://hdl.handle.net/10220/42542
ISSN: 0893-9659
DOI: 10.1016/j.aml.2015.09.008
Rights: © 2015 Elsevier Ltd. This is the author created version of a work that has been peer reviewed and accepted for publication by Applied Mathematics Letters, Elsevier. It incorporates referee’s comments but changes resulting from the publishing process, such as copyediting, structural formatting, may not be reflected in this document. The published version is available at: [http://dx.doi.org/10.1016/j.aml.2015.09.008].
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:SPMS Journal Articles

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