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- W2019919646 abstract "In this paper we develop a general method for deriving closed-form approximations of European option prices and equivalent implied volatilities in stochastic volatility models. Our method relies on perturbations of the model dynamics and we show how the expansion terms can be calculated using purely probabilistic methods. A flexible way of approximating the equivalent implied volatility from the basic price expansion is also introduced. As an application of our method we derive closed-form approximations for call prices and implied volatilities in the Heston [Rev. Financial Stud., 1993, 6, 327–343] model. The accuracy of these approximations is studied and compared with numerically obtained values." @default.
- W2019919646 created "2016-06-24" @default.
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- W2019919646 date "2012-06-01" @default.
- W2019919646 modified "2023-09-23" @default.
- W2019919646 title "General approximation schemes for option prices in stochastic volatility models" @default.
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- W2019919646 doi "https://doi.org/10.1080/14697688.2010.488244" @default.
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