Numerical Techniques for Option Pricing in the SVV Model

Giulia Di Nunno (), Yuliya Mishura () and Anton Yurchenko-Tytarenko ()
Additional contact information
Giulia Di Nunno: University of Oslo, Department of Mathematics
Yuliya Mishura: Taras Shevchenko National University of Kyiv, Department of Probability Theory, Statistics and Actuarial Mathematics
Anton Yurchenko-Tytarenko: Statkraft Energi aS

Chapter 8 in Volterra Volatility Models, 2026, pp 265-294 from Springer

Abstract: Abstract This chapter based on the material originally published in [4] develops numerical techniques for option pricing within the Sandwiched Volterra Volatility (SVV) framework. Using the stochastic differentiability of the SVV model and the Malliavin integration by parts formula, we introduce a pricing algorithm that is particularly well-suited for options with discontinuous payoffs. The results are illustrated by simulations.

Date: 2026
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-032-26576-0_8

Ordering information: This item can be ordered from
http://www.springer.com/9783032265760

DOI: 10.1007/978-3-032-26576-0_8

Access Statistics for this chapter

More chapters in Springer Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().