Pricing of vulnerable options under hybrid stochastic and local volatility
In this study, considering the paradoxical stochastic characteristics of over-the-counter
markets during a financial crisis, we examine the price of vulnerable options under the …
markets during a financial crisis, we examine the price of vulnerable options under the …
A stochastic-local volatility model with Le´ vy jumps for pricing derivatives
HG Kim, JH Kim - Applied Mathematics and Computation, 2023 - Elsevier
We introduce a new mixed model unifying local volatility, pure stochastic volatility, and L e´
vy type of jumps in this paper. Our model framework allows the pure stochastic volatility and …
vy type of jumps in this paper. Our model framework allows the pure stochastic volatility and …
A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model
HG Kim, SY Cho, JH Kim - Computational and Applied Mathematics, 2023 - Springer
Modeling the volatility smile and skew has been an active area of research in mathematical
finance. This article proposes a hybrid stochastic–local volatility model which is built on the …
finance. This article proposes a hybrid stochastic–local volatility model which is built on the …
[PDF][PDF] Pricing vanilla, barrier, and lookback options under two-scale stochastic volatility driven by two approximate fractional Brownian motions
MK Lee, JH Kim - AIMS Mathematics, 2024 - aimspress.com
In this paper, we proposed a stochastic volatility model in which the volatility was given by
stochastic processes representing two characteristic time scales of variation driven by …
stochastic processes representing two characteristic time scales of variation driven by …