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Extra-Dimensional Approach to Option Pricing and Stochastic Volatility
Extra-Dimensional Option Pricing Stochastic Volatility
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2010/4/27
The generalized 5D Black-Scholes differential equation with stochastic volatility is derived. The projections of the stochastic evolutions associated with the random variables from an enlarged space o...
A comprehensive method for exotic option pricing
by-product pricing formulas exotic options
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2010/4/27
This work illustrates how several new pricing formulas for exotic options can be derived within a Levy framework by employing a unique pricing expression. Many existing pricing formulas of the traditi...
Option pricing in multivariate stochastic volatility models of OU type
multivariate stochastic volatility models Ornstein-Uhlenbeck type processes optionpri-cing
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2010/4/27
We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several assets while still b...