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Erschienen in:
2017 | OriginalPaper | Buchkapitel
A Generic Decomposition Formula for Pricing Vanilla Options Under Stochastic Volatility Models
verfasst von : Raúl Merino, Josep Vives
Erschienen in: Extended Abstracts Summer 2015
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Abstract
We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model, extending a previous decomposition formula for the Heston model. We realize that a new term arises when the stock price does not follow an exponential model. The techniques used for this purpose are non-anticipative. In particular, we also see that equivalent results can be obtained by using Functional Itô Calculus. Using the same generalizing ideas, we also extend to non-exponential models the alternative call option price decomposition formula written in terms of the Malliavin derivative of the volatility process. Finally, we give a general expression for the derivative of the implied volatility under both the anticipative and the non-anticipative cases.