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RECERCAT Home > Universitat Pompeu Fabra > Working papers, informes, etc. > View document

To access the full text documents, please follow this link: http://hdl.handle.net/10230/544

Title: A general decomposition formula for derivative prices in stochastic volatility models
Author: Alòs, Elisa
Other authors: Universitat Pompeu Fabra. Departament d'Economia i Empresa
Subject(s): -Statistics, Econometrics and Quantitative Methods
-continuous-time option pricing model
-stochastic volatility
-ito's formula
-incomplete markets
Rights: L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
http://creativecommons.org/licenses/by-nc-nd/3.0/es/
Document type: Working Paper
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The implied volatility of forward starting options: ATM short-time level, skew and curvature
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A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
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A generalization of Hull and White formula and applications to option pricing approximation
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Pricing and hedging Margrabe options with stochastic volatilities
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A decomposition formula for option prices in the Heston model and applications to option pricing approximation
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