Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1707468 | Applied Mathematics Letters | 2016 | 8 Pages |
Abstract
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 Han et al. (2013), 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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Authors
Nicolas Privault, Qihao She,