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Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model.
- Source :
-
Applied Mathematics Letters . Mar2016, Vol. 53, p77-84. 8p. - Publication Year :
- 2016
-
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]
Details
- Language :
- English
- ISSN :
- 08939659
- Volume :
- 53
- Database :
- Academic Search Index
- Journal :
- Applied Mathematics Letters
- Publication Type :
- Academic Journal
- Accession number :
- 111169259
- Full Text :
- https://doi.org/10.1016/j.aml.2015.09.008