Article ID Journal Published Year Pages File Type
1707468 Applied Mathematics Letters 2016 8 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Engineering Computational Mechanics
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