Pricing Path-Dependent Options under Stochastic Volatility via Mellin Transform
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- repec:cup:cbooks:9780521843584 is not listed on IDEAS
- Sun-Yong Choi & Jean-Pierre Fouque & Jeong-Hoon Kim, 2013. "Option pricing under hybrid stochastic and local volatility," Quantitative Finance, Taylor & Francis Journals, vol. 13(8), pages 1157-1165, July.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
- Conze, Antoine & Viswanathan, 1991. "Path Dependent Options: The Case of Lookback Options," Journal of Finance, American Finance Association, vol. 46(5), pages 1893-1907, December.
- Bates, David S, 1996. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options," The Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 69-107.
- Hideharu Funahashi & Tomohide Higuchi, 2018. "An analytical approximation for single barrier options under stochastic volatility models," Annals of Operations Research, Springer, vol. 266(1), pages 129-157, July.
- Boyle, Phelim P. & Tian, Yisong “Sam”, 1999. "Pricing Lookback and Barrier Options under the CEV Process," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(2), pages 241-264, June.
- Park, Sang-Hyeon & Kim, Jeong-Hoon, 2013. "A semi-analytic pricing formula for lookback options under a general stochastic volatility model," Statistics & Probability Letters, Elsevier, vol. 83(11), pages 2537-2543.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Cao, Jiling & Kim, Jeong-Hoon & Li, Xi & Zhang, Wenjun, 2023. "Valuation of barrier and lookback options under hybrid CEV and stochastic volatility," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 208(C), pages 660-676.
- Jiling Cao & Jeong-Hoon Kim & Xi Li & Wenjun Zhang, 2022. "Pricing Path-dependent Options under Stochastic Volatility via Mellin Transform," Papers 2205.00573, arXiv.org.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
- Guo, Jingjun & Kang, Weiyi & Wang, Yubing, 2024. "Multi-perspective option price forecasting combining parametric and non-parametric pricing models with a new dynamic ensemble framework," Technological Forecasting and Social Change, Elsevier, vol. 204(C).
- El-Khatib, Youssef & Goutte, Stephane & Makumbe, Zororo S. & Vives, Josep, 2023. "A hybrid stochastic volatility model in a Lévy market," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 220-235.
- Kim, Geonwoo & Jeon, Junkee, 2018. "Closed-form solutions for valuing partial lookback options with random initiation," Finance Research Letters, Elsevier, vol. 24(C), pages 321-327.
- Kim, Hyun-Gyoon & Kim, Jeong-Hoon, 2023. "A stochastic-local volatility model with Le´vy jumps for pricing derivatives," Applied Mathematics and Computation, Elsevier, vol. 451(C).
- M. Broadie & Y. Yamamoto, 2005. "A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options," Operations Research, INFORMS, vol. 53(5), pages 764-779, October.
- Marcos Escobar-Anel & Weili Fan, 2023. "The SEV-SV Model—Applications in Portfolio Optimization," Risks, MDPI, vol. 11(2), pages 1-34, January.
- Peter Carr & Liuren Wu, 2014.
"Static Hedging of Standard Options,"
Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 3-46.
- Peter Carr & Liuren Wu, 2013. "Static Hedging of Standard Options," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 3-46, December.
- Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, University Library of Munich, Germany.
- Detlefsen, Kai & Härdle, Wolfgang Karl, 2006. "Forecasting the term structure of variance swaps," SFB 649 Discussion Papers 2006-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Christoffersen, Peter & Heston, Steven & Jacobs, Kris, 2010. "Option Anomalies and the Pricing Kernel," Working Papers 11-17, University of Pennsylvania, Wharton School, Weiss Center.
- Peng He, 2012. "Option Portfolio Value At Risk Using Monte Carlo Simulation Under A Risk Neutral Stochastic Implied Volatility Model," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 6(5), pages 65-72.
- Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016. "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers 2016-14, University of Sydney, School of Economics.
- Leonidas S. Rompolis & Elias Tzavalis, 2017. "Pricing and hedging contingent claims using variance and higher order moment swaps," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 531-550, April.
- Ricardo Crisóstomo, 2021.
"Estimating real‐world probabilities: A forward‐looking behavioral framework,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1797-1823, November.
- Ricardo Cris'ostomo, 2020. "Estimating real-world probabilities: A forward-looking behavioral framework," Papers 2012.09041, arXiv.org, revised Jan 2021.
- Ricardo Crisóstomo, 2021. "Estimating real word probabilities: a forward-looking behavioral framework," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
- Jaros{l}aw Gruszka & Janusz Szwabi'nski, 2023. "Portfolio Optimisation via the Heston Model Calibrated to Real Asset Data," Papers 2302.01816, arXiv.org.
- Shuang Xiao & Guo Li & Yunjing Jia, 2017. "Estimating the Constant Elasticity of Variance Model with Data-Driven Markov Chain Monte Carlo Methods," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 34(01), pages 1-23, February.
- Rehez Ahlip & Laurence A. F. Park & Ante Prodan, 2017. "Pricing currency options in the Heston/CIR double exponential jump-diffusion model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-30, March.
- Siu, Tak Kuen & Yang, Hailiang & Lau, John W., 2008. "Pricing currency options under two-factor Markov-modulated stochastic volatility models," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 295-302, December.
More about this item
Keywords
asymptotic approximation; barrier; down-and-out; floating strike; lookback; Mellin transform; stochastic volatility;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jjrfmx:v:16:y:2023:i:10:p:456-:d:1264186. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.