New approximations in local volatility models - Archive ouverte HAL Accéder directement au contenu
Chapitre D'ouvrage Année : 2013

New approximations in local volatility models

Résumé

For general time-dependent local volatility models, we propose new approximation formulas for the price of call options. This extends previous results of [BGM10b] where stochastic expansions combined with Malliavin calculus were performed to obtain approximation formulas based on the local volatility At The Money. Here, we derive alternative expansions involving the local volatility at strike. Averaging both expansions give even more accurate results. Approximations of the implied volatility are provided as well.
Fichier principal
Vignette du fichier
GOBET_SULEIMAN_VolLocale_FinalVersion.pdf (298.27 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-00523369 , version 1 (05-10-2010)

Identifiants

  • HAL Id : hal-00523369 , version 1

Citer

Emmanuel Gobet, Ali Suleiman. New approximations in local volatility models. Y. Kabanov and M. Rutkowski and T. Zariphopoulou. Inspired by Finance. The Musiela Festschrift, Springer, pp.305--330, 2013. ⟨hal-00523369⟩
386 Consultations
755 Téléchargements

Partager

Gmail Facebook X LinkedIn More