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Original Articles

Stochastic volatility, smile & asymptotics

Pages 107-145 | Published online: 14 Oct 2010

Keep up to date with the latest research on this topic with citation updates for this article.

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Jungmin Choi. (2018) Valuation of GMWB under stochastic volatility. Journal of Interdisciplinary Mathematics 21:3, pages 539-551.
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Jan Pospíšil & Tomáš Sobotka. (2016) Market calibration under a long memory stochastic volatility model. Applied Mathematical Finance 23:5, pages 323-343.
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Jungmin Choi & Max Gunzburger. (2009) Option pricing in the presence of random arbitrage return. International Journal of Computer Mathematics 86:6, pages 1068-1081.
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Yuan-Hung Hsuku. (2007) Dynamic consumption and asset allocation with derivative securities. Quantitative Finance 7:2, pages 137-149.
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Articles from other publishers (52)

Giovanna Nappo, Fabio Massimo Marchetti & Gianluca Vagnani. (2023) Traders’ heterogeneous beliefs about stock volatility and the implied volatility skew in financial options markets. Finance Research Letters 53, pages 103664.
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Mauricio Contreras G.Roberto Ortiz H.. (2023) Three little arbitrage theorems. Frontiers in Applied Mathematics and Statistics 9.
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Maxim Bichuch & Jean‐Pierre Fouque. (2023) Optimal investment with correlated stochastic volatility factors. Mathematical Finance 33:2, pages 342-369.
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Federico M. Bandi, Nicola Fusari & Roberto Renò. (2023) 0DTE Option Pricing. SSRN Electronic Journal.
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Julien Guyon. (2022) The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew. SIAM Journal on Financial Mathematics 13:4, pages 1418-1485.
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Dondukova Oyuna & Liu Yaobin. (2021) Forecasting the Crude Oil Prices Volatility With Stochastic Volatility Models. SAGE Open 11:3, pages 215824402110262.
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Yacine Aït-Sahalia, Chenxu Li & Chen Xu Li. (2021) Implied Stochastic Volatility Models. The Review of Financial Studies 34:1, pages 394-450.
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Walter Mudzimbabwe. (2020) A time consistent derivative strategy. International Journal of Financial Engineering 07:01, pages 2050004.
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M. Contreras, J. Echeverría, J.P. Peña & M. Villena. (2020) Resonance phenomena in option pricing with arbitrage. Physica A: Statistical Mechanics and its Applications 540, pages 123238.
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Tingjin Yan & Hoi Ying Wong. (2020) Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatility. Insurance: Mathematics and Economics 90, pages 105-119.
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Andrea Barletta, Elisa Nicolato & Stefano Pagliarani. (2019) The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework. Mathematical Finance 29:3, pages 928-966.
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Jean-Pierre Fouque, Matthew Lorig & Ronnie Sircar. (2016) Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. Finance and Stochastics 20:3, pages 543-588.
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Andrea Schertler & Saskia Stoerch. (2015) Issuers’ credit risk and pricing of warrants in the recent financial crisis. The Journal of Risk Finance 16:4, pages 444-462.
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Sung-Jin Yang, Min-Ku Lee & Jeong-Hoon Kim. (2014) Portfolio optimization under the stochastic elasticity of variance. Stochastics and Dynamics 14:03, pages 1350024.
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Geng Deng, Tim Dulaney, Craig McCann & Mike Yan. (2014) Crooked volatility smiles: Evidence from leveraged and inverse ETF options. Journal of Derivatives & Hedge Funds 19:4, pages 278-294.
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Sang-Hyeon Park & Jeong-Hoon Kim. (2013) A semi-analytic pricing formula for lookback options under a general stochastic volatility model. Statistics & Probability Letters 83:11, pages 2537-2543.
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M. Yousuf & A.Q.M. Khaliq. (2013) An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs. Numerical Methods for Partial Differential Equations 29:6, pages 1864-1880.
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Fabrizio Ferriani & Sergio Pastorello. (2012) Estimating and testing non‐affine option pricing models with a large unbalanced panel of options. The Econometrics Journal 15:2, pages 171-203.
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Archil GulisashviliArchil Gulisashvili. 2012. Analytically Tractable Stochastic Stock Price Models. Analytically Tractable Stochastic Stock Price Models 243 272 .
Robert Frontczak. (2011) Valuing Options in Heston's Stochastic Volatility Model: Another Analytical Approach. Journal of Applied Mathematics 2011, pages 1-18.
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Mauricio Contreras, Rely Pellicer, Marcelo Villena & Aaron Ruiz. (2010) A quantum model of option pricing: When Black?Scholes meets Schr?dinger and its semi-classical limit. Physica A: Statistical Mechanics and its Applications 389:23, pages 5447-5459.
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Mauricio Contreras, Rodrigo Montalva, Rely Pellicer & Marcelo Villena. (2010) Dynamic option pricing with endogenous stochastic arbitrage. Physica A: Statistical Mechanics and its Applications 389:17, pages 3552-3564.
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Archil Gulisashvili & Elias M. Stein. (2010) ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I. Mathematical Finance 20:3, pages 447-477.
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Jean‐Pierre Fouque. 2010. Encyclopedia of Quantitative Finance. Encyclopedia of Quantitative Finance.
Gianluca Vagnani. (2009) The Black–Scholes model as a determinant of the implied volatility smile: A simulation study. Journal of Economic Behavior & Organization 72:1, pages 103-118.
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Nan Chen & S. G. Kou. (2009) CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK. Mathematical Finance 19:3, pages 343-378.
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Archil Gulisashvili & Elias M. Stein. (2009) IMPLIED VOLATILITY IN THE HULL-WHITE MODEL. Mathematical Finance 19:2, pages 303-327.
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N. Lazrieva & T. Toronjadze. (2008) Optimal robust mean-variance hedging in incomplete financial markets. Journal of Mathematical Sciences 153:3, pages 262-290.
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NAOTO KUNITOMO & YONG-JIN KIM. (2007) EFFECTS OF STOCHASTIC INTEREST RATES AND VOLATILITY ON CONTINGENT CLAIMS. The Japanese Economic Review 58:1, pages 71-106.
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Abby Tan. (2006) Long-memory volatility in derivative hedging. Physica A: Statistical Mechanics and its Applications 370:2, pages 689-696.
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Stephanos Panayides. (2006) Arbitrage opportunities and their implications to derivative hedging. Physica A: Statistical Mechanics and its Applications 361:1, pages 289-296.
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S FEDOTOV & S PANAYIDES. (2005) Stochastic arbitrage return and its implication for option pricing. Physica A: Statistical Mechanics and its Applications 345:1-2, pages 207-217.
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Roger W. Lee. 2005. Recent Advances in Applied Probability. Recent Advances in Applied Probability 241 268 .
Eva L?tkebohmert. (2004) An asymptotic expansion for a Black?Scholes type model. Bulletin des Sciences Math?matiques 128:8, pages 661-685.
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Henryk Gzyl & Minaya Villasana. (2004) A perturbative approach for reconstructing diffusion coefficients. Applied Mathematics and Computation 154:1, pages 1-15.
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Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar & Knut Sølna. (2004) Timing the smile. Wilmott 2004:2, pages 59-65.
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Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar & Knut Solna. (2003) Multiscale Stochastic Volatility Asymptotics. Multiscale Modeling & Simulation 2:1, pages 22-42.
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Mattias Jonsson & K. Ronnie Sircar. (2007) PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT. Mathematical Finance 12:4, pages 375-409.
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Yong-Jin Kim. (2002) AN ASYMPTOTIC VALUATION FOR THE OPTION UNDER A GENERAL STOCHASTIC VOLATILITY(Special Issue on Theory, Methodology and Applications in Financial Engneering). Journal of the Operations Research Society of Japan 45:4, pages 404-425.
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N. Svanstedt. 2002. Progress in Industrial Mathematics at ECMI 2000. Progress in Industrial Mathematics at ECMI 2000 63 66 .
ALEXANDER G. MUSLIMOV & NIKOLAI A. SILANT'EV. (2011) RENORMALIZATION OF BLACK-SCHOLES EQUATION FOR STOCHASTICALLY FLUCTUATING INTEREST RATE. International Journal of Theoretical and Applied Finance 04:04, pages 621-634.
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SERGEI FEDOTOV & SERGEI MIKHAILOV. (2011) OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST. International Journal of Theoretical and Applied Finance 04:01, pages 179-195.
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ROGER W. LEE. (2011) IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY. International Journal of Theoretical and Applied Finance 04:01, pages 45-89.
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Oghenovo A. Obrimah. (2022) A Discretely Formulated Option Pricing Model That, Absent Directness of Modeling of Volatility, Embeds the ‘Volatility Smile’. SSRN Electronic Journal.
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Julien Guyon. (2021) The smile of stochastic volatility: Revisiting the Bergomi-Guyon expansion. SSRN Electronic Journal.
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Julien Guyon. (2020) The VIX Future in Bergomi Models: Analytic Expansions and Joint Calibration with S&P 500 Skew. SSRN Electronic Journal.
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Maxim Bichuch & Jean-Pierre Fouque. (2019) Optimal Investment with Correlated Stochastic Volatility Factors. SSRN Electronic Journal.
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Bei Chen & Quan Gan. (2018) Sentiment, Implied Volatility Slope, and Risk-Neutral Skewness. SSRN Electronic Journal.
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Yacine Ait-Sahalia, Chenxu Li & Chen Xu Li. (2017) Closed-Form Implied Volatility Surfaces for Stochastic Volatility Models. SSRN Electronic Journal.
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Andrea Barletta, Elisa Nicolato & Stefano Pagliarani. (2017) The Short-Time Behaviour of VIX Implied Volatilities in a Multifactor Stochastic Volatility Framework. SSRN Electronic Journal.
Crossref
Geng Deng, Tim Dulaney, Craig J. McCann & Mike Yan. (2012) Crooked Volatility Smiles: Evidence from Leveraged and Inverse ETF Options. SSRN Electronic Journal.
Crossref
Jean-Pierre Fouque, Matthew Lorig & Ronnie Sircar. (2012) Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration. SSRN Electronic Journal.
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