Perturbative solutions to any order in vol of vol and time to maturity

frolloos · Post by **frolloos** » Mon Dec 03, 2018 2:01 pm

Hi folks - I'm working on something new (or old, depends how you look at it) that appears to easily (I mean like a kid could almost do it) generate perturbative solutions for general SV models to arbitrary order in the vol of vol parameter and time to maturity.

Now that sounds almost too good to be true right? That's what I fear as well, hence if anyone would be interested to critically read what I've done and save me from making an utter ass of myself please let me know ${L_SMILIES_SMILE}$

Thanks,

F.

ronin · Post by **ronin** » Mon Dec 03, 2018 2:19 pm

Happy to have a look.

It doesn't really sound too good to be true. The world is full of analytical and semi-analytical solutions. As it happens, most of them are actually inferior to numerical solutions in practice.

frolloos · Post by **frolloos** » Tue Dec 04, 2018 1:28 am

Thanks ronin. Will send it over to you some time this week.

frolloos · Post by **frolloos** » Fri Dec 07, 2018 3:02 am

Sent you the first few pages.

ronin · Post by **ronin** » Fri Dec 07, 2018 4:11 pm

Got it. Will read through over the weekend.