Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
نویسندگان
چکیده
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 [4], these expansions allow us to recover the well-known skew and smile phenomena on implied volatility surfaces, depending on the values of the correlation parameter.
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عنوان ژورنال:
- Appl. Math. Lett.
دوره 53 شماره
صفحات -
تاریخ انتشار 2016