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

• المؤلفون الرئيسيون: Privault, Nicolas, She, Qihao
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2017
• الموضوعات: 2-hypergeometric model; Stochastic volatility
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/83341; http://hdl.handle.net/10220/42542

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...