J. Vives Santa-Eulalia
In a paper by E. Alòs, R. de Santiago and J. V. (2015) a Hull and White type formula, that is, a theoretical and exact decomposition of the price of a plain vanilla option, is used to obtain approximate prices of plain vanilla options under the Heston model. These ideas have subsequently been extended to different stochastic volatility models with and without jumps and the methodology for obtaining approximate prices has been improved. Results for more complex models (rough volatility, hybrid, two-factor, infinite activity jumps) have recently been obtained. The aim of the talk is to summarize this methodology and discuss its competitiveness in terms of accuracy and computational cost with other recent methodologies for approximating option prices.
Palabras clave: Stochastic volatility models, approximate option pricing
Programado
GT15.PROCEST4 Sesión Invitada
9 de noviembre de 2023 16:50
HC3: Sala Canónigos 3