Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
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...
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| Main Authors: | , |
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| 格式: | Article |
| 語言: | English |
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2017
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| 在線閱讀: | https://hdl.handle.net/10356/83341 http://hdl.handle.net/10220/42542 |
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