Exponentiation of Conditional Expectations Under Stochastic Volatility


We use the Alòs Decomposition Formula to express certain conditional expectations as exponentials of iterated integrals. As one application, we compute an exact formal expression for the leverage swap for any stochastic... [ view full abstract ]


  1. Jim Gatheral (Baruch College, CUNY)
  2. elisa alos (University of Pompeu Fabra)
  3. Radoš Radoičić (Baruch College, CUNY)

Topic Areas

Calibration , Options , Stochastic Volatility


TH-A-BU » Calibrating Stochastic Volatility Models (11:30 - Thursday, 19th July, Burke Theater)

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