Option Pricing with Orthogonal Polynomial Expansions

Abstract

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein–Stein, and Hull–White models, for which we provide numerical case... [ view full abstract ]

Authors

  1. Damien Ackerer (Swissquote Bank)
  2. Damir Filipovic (EPFL and Swiss Finance Institute)

Topic Areas

Computational Finance , Polynomial Processes , Stochastic Volatility

Session

MO-A-UI » Stochastic Differential Equations in Finance: Simulation, Estimation and Approximation (11:30 - Monday, 16th July, Ui Chadhain)

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