Title: Option pricing under hybrid stochastic and local volatility.
Authors: CHOI, SUN-YONG; FOUQUE, JEAN-PIERRE; KIM, JEONG-HOON
Abstract: The article discusses the developments in the global financial market. It focuses on the option pricing under hybrid stochastic and local volatility of equity options. It cites the constant elasticity of variance (CEV) diffusion model as one of the methods to make the volatility depends on the underlying asset price and time. The works of J. Cox and S. Ross on the model are also cited.
Subjects: FINANCIAL markets; PRICING; STOCHASTIC processes; MARKET volatility; VARIANCES; ASSETS (Accounting)
Publication: Quantitative Finance, 2013, Vol 13, Issue 8, p1157
ISSN: 1469-7688
Publication type: Academic Journal
DOI: 10.1080/14697688.2013.780209

Option pricing under hybrid stochastic and local volatility.

CHOI, SUN-YONG; FOUQUE, JEAN-PIERRE; KIM, JEONG-HOON