Výsledky vyhledávání - "Alan L. Lewis"

Proof of non-convergence of the short-maturity expansion for the SABR model

Autor: Alan L. Lewis, Dan Pirjol

Publikováno v: Quantitative Finance. 22:1747-1757

We study the convergence properties of the short maturity expansion of option prices in the uncorrelated log-normal ($\beta=1$) SABR model. In this model the option time-value can be represented as an integral of the form $V(T) = \int_{0}^\infty e^{-

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ec12a7b45fb50886ff4618f43cbcff1f
https://doi.org/10.1080/14697688.2022.2071759

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Exact Solutions for a GBM-type Stochastic Volatility Model having a Stationary Distribution

Autor: Alan L. Lewis

We find various exact solutions for a new stochastic volatility (SV) model: the transition probability density, European-style option values, and (when it exists) the martingale defect. This may represent the first example of an SV model combining ex

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::804bbe190f1da012d3818b107b4d118b
http://arxiv.org/abs/1809.08635

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Modeling Volatility and Valuing Derivatives Under Anchoring

Autor: Daniel J. Duffy, Paul Wilmott, Alan L. Lewis

Publikováno v: Wilmott. 2014:48-57

We develop a complete-markets model with volatility smiles, tractability, and intuitive appeal as an anchoring or habit-formation model. Like traditional stochastic volatility models, it is invariant to a multiplicative scaling of the stock price lev

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::34a572d0b98f91bde8f10f96f30acf2d
https://doi.org/10.1002/wilm.10366

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Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms

Autor: Ernesto Mordecki, Alan L. Lewis

Publikováno v: Journal of Applied Probability. 45:118-134

We show that the positive Wiener-Hopf factor of a Lévy process with positive jumps having a rational Fourier transform is a rational function itself, expressed in terms of the parameters of the jump distribution and the roots of an associated equati

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::199f9ffe7e3e8df8d37a678dca2fc6e2
https://doi.org/10.1017/s0021900200004009

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