Orthogonal polynomial expansions for the valuation of options under the stochastic volatility models with stochastic correlation
This work provides a new method for pricing options under the generalized stochastic volatility models with Jacobi stochastic correlation. Our method is based on the observation that the generalized models belong to the class of polynomial diffusions and therefore the option prices can be efficientl...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2024-06-01
|
| Series: | Journal of Management Science and Engineering |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2096232024000131 |