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

• Main Authors: Privault, Nicolas, She, Qihao
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2017
• Subjects: 2-hypergeometric model; Stochastic volatility
• Online Access: https://hdl.handle.net/10356/83341; http://hdl.handle.net/10220/42542
• Institution: Nanyang Technological University

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 phe...