Conic quantization: stochastic volatility and market implied liquidity

Abstract

Market implied liquidity links the pricing of European options under stochastic volatility with the Conic Finance theory of two prices

Disclosure statement

No potential conflict of interest was reported by the authors.

ORCID

Lucio Fiorin http://orcid.org/0000-0002-0350-9473

Wim Schoutens http://orcid.org/0000-0001-8510-1510

Notes

† A (non exhaustive) collection can be summarized as follow. Stochastic volatility: Heston model of Heston (1993), Bates model of Bates (1996), Bi Heston model of Christoffersen et al. (2009), Hull–White model of Hull and White (1987), Stein–Stein model of Stein and Stein (1991), Wishart model of Da Fonseca et al. (2008). Exponential Levy: Variance Gamma model of Madan et al. (1998), Normal Inverse Gaussian model of Barndorff-Nielsen (1997), CGMY model of Carr et al. (2002), Tempered Stable model of Kuchler and Tappe (2013). Non affine models: $\frac{3}{2}$ model of Platen (1997), $\frac{4}{2}$ model of Grasselli (2017).