Option Pricing with Orthogonal Polynomial Expansions


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 ]


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

Topic Areas

Computational Finance , Polynomial Processes , Stochastic Volatility


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

Presentation Files

The presenter has not uploaded any presentation files.