Solvable Local and Stochastic Volatility Models: Supersymmetric Methods in Option Pricing
| dc.creator | Henry-Labordere, Pierre | |
| dc.date | 2005-11-01 | |
| dc.date.accessioned | 2026-07-07T06:45:45Z | |
| dc.date.available | 2026-07-07T06:45:45Z | |
| dc.description | 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 integrable superpotentials introduced recently in supersymmetric quantum mechanics, we obtain new analytical solutions. 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. | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0511028 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0511028 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/103135 | |
| dc.subject | Other Condensed Matter | |
| dc.title | Solvable Local and Stochastic Volatility Models: Supersymmetric Methods in Option Pricing | |
| dc.type | text |