dc.contributor.author | Henry-Labordere, Pierre | de |
dc.date.accessioned | 2011-02-23T03:41:00Z | de |
dc.date.accessioned | 2012-08-30T07:09:12Z | |
dc.date.available | 2012-08-30T07:09:12Z | |
dc.date.issued | 2007 | de |
dc.identifier.uri | http://www.ssoar.info/ssoar/handle/document/22095 | |
dc.description.abstract | In this paper we provide an extensive classification of one and two dimensional diffusion processes which admit an exact solution to the Kolmogorov (and hence Black-Scholes) equation (in terms of hypergeometric functions). By identifying the
one-dimensional solvable processes with the class of {\it integrable superpotentials} introduced recently in supersymmetric quantum mechanics, we obtain new analytical solutions. In particular, by applying {\it supersymmetric transformations} on a known solvable diffusion process (such as the Natanzon process for which the solution is given by a hypergeometric function), we obtain a hierarchy of new solutions. These solutions are given by a sum of hypergeometric functions, generalizing the results obtained in the paper "Black-Scholes Goes Hypergeometric" \cite{alb}. For two-dimensional processes, more precisely
stochastic volatility models, the classification is achieved for a specific class called gauge-free models including the Heston model, the $3/2$-model and the geometric Brownian model. We then present a new exact stochastic volatility model belonging to this class. | en |
dc.language | en | de |
dc.subject.ddc | Wirtschaft | de |
dc.subject.ddc | Economics | en |
dc.subject.other | Applied Mathematical Finance; Econophysics; Black-Scholes Model; Stochastic Volatility; Calibration of Stochastic Volatility; Volatility Modelling | |
dc.title | Solvable Local and Stochastic Volatility Models: Supersymmetric Methods in Option Pricing | en |
dc.description.review | begutachtet (peer reviewed) | de |
dc.description.review | peer reviewed | en |
dc.source.journal | Quantitative Finance | de |
dc.source.volume | 7 | de |
dc.publisher.country | GBR | |
dc.source.issue | 5 | de |
dc.subject.classoz | Basic Research, General Concepts and History of Economics | en |
dc.subject.classoz | Economic Statistics, Econometrics, Business Informatics | en |
dc.subject.classoz | Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik | de |
dc.subject.classoz | Allgemeines, spezielle Theorien und Schulen, Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften | de |
dc.identifier.urn | urn:nbn:de:0168-ssoar-220959 | de |
dc.date.modified | 2011-03-15T11:09:00Z | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | en |
ssoar.gesis.collection | SOLIS;ADIS | de |
ssoar.contributor.institution | http://www.peerproject.eu/ | de |
internal.status | 1 | de |
dc.type.stock | article | de |
dc.type.document | journal article | en |
dc.type.document | Zeitschriftenartikel | de |
dc.rights.copyright | f | de |
dc.source.pageinfo | 525-535 | |
internal.identifier.classoz | 10905 | |
internal.identifier.classoz | 10901 | |
internal.identifier.document | 32 | |
internal.identifier.ddc | 330 | |
dc.identifier.doi | https://doi.org/10.1080/14697680601103045 | de |
dc.subject.methods | Theorieanwendung | de |
dc.subject.methods | theory application | en |
dc.description.pubstatus | Postprint | en |
dc.description.pubstatus | Postprint | de |
internal.identifier.licence | 7 | |
internal.identifier.methods | 15 | |
internal.identifier.pubstatus | 2 | |
internal.identifier.review | 1 | |
internal.check.abstractlanguageharmonizer | CERTAIN | |
internal.check.languageharmonizer | CERTAIN_RETAINED | |