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Start Over Author "Privault, Nicolas" Journal applied mathematics letters Publisher elsevier b.v.
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1. Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model.

Author

Privault, Nicolas and She, Qihao

Subjects
*STOCHASTIC analysis, *MARKET volatility, *HYPERGEOMETRIC series, *BROWNIAN motion, *STATISTICAL correlation, *MATHEMATICAL models
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. [ABSTRACT FROM AUTHOR]

Published
2016
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