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Closed-form approximations for option prices in stochastic volatility models via the mixing solution

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posted on 03.12.2019 by KAUSTAV DAS
We consider the classical European option pricing problem in a general stochastic volatility framework with time-dependent parameters. It is possible to express the price of a European option as the expectation of a functional of the integrated variance process. In particular, this functional itself is similar to that of a Black-Scholes formula, which possesses many well studied properties. From there, it is possible to utilise expansion techniques to approximate the option price in a closed-form manner. We achieve this using two different types of approaches, one contingent on change of measure techniques, the other on Malliavin calculus machinery.

History

Campus location

Australia

Principal supervisor

Fima Klebaner

Additional supervisor 1

Kais Hamza

Additional supervisor 2

Nicolas Langrene

Additional supervisor 3

Oscar Tian

Year of Award

2019

Department, School or Centre

Mathematics

Additional supervisor 4

Zili Zhu

Course

Doctor of Philosophy

Degree Type

DOCTORATE

Exports

Exports