Option Pricing for Stochastic Volatility Models: Vol-of-Vol Expansion
نویسنده
چکیده
In this article, we propose an analytical approximation for the pricing of European options for some lognormal stochastic volatility models. This approximation is a second-order Taylor series expansion of the Fourier transform with respect to the "volatility of volatility". We give, using these formulas, a new method of variance reduction for the Monte-Carlo simulation of the trajectories of the underlying.
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ورودعنوان ژورنال:
- SIAM J. Financial Math.
دوره 5 شماره
صفحات -
تاریخ انتشار 2014