3 citations · 5 across the 5 of their papers we have counts for
5 papers
Proof of non-convergence of the short-maturity expansion for the SABR model
Alan L. Lewis, Dan Pirjol
We study the convergence properties of the short maturity expansion of option prices in the uncorrelated log-normal () SABR model. In this model the option time-value can be r…
US Equity Risk Premiums during the COVID-19 Pandemic
Alan L. Lewis
We study equity risk premiums in the United States during the COVID-19 pandemic.
Option-based Equity Risk Premiums
Alan L. Lewis
We construct the term structure of the (forward-looking, US market) equity risk premium from SPX option chains. The method is "model-light". Risk-neutral probability densities are…
Exact Solutions for a GBM-type Stochastic Volatility Model having a Stationary Distribution
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 de…
A First Option Calibration of the GARCH Diffusion Model by a PDE Method
Yiannis A. Papadopoulos, Alan L. Lewis
Time-series calibrations often suggest that the GARCH diffusion model could also be a suitable candidate for option (risk-neutral) calibration. But unlike the popular Heston model,…