Pages that link to "Item:Q433133"
From MaRDI portal
The following pages link to Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility (Q433133):
Displaying 25 items.
- Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration (Q309158) (← links)
- Option price with stochastic volatility for both fast and slow mean-reverting regimes (Q357435) (← links)
- Stochastic volatility asymptotics of stock loans: valuation and optimal stopping (Q439269) (← links)
- FFT based option pricing under a mean reverting process with stochastic volatility and jumps (Q534218) (← links)
- Uniform asymptotic expansions for pricing European options (Q816972) (← links)
- Lookback options and dynamic fund protection under multiscale stochastic volatility (Q882460) (← links)
- Option pricing with mean reversion and stochastic volatility (Q1011280) (← links)
- Pricing credit default swaps under a multi-scale stochastic volatility model (Q1620315) (← links)
- A multiscale extension of the Margrabe formula under stochastic volatility (Q1693945) (← links)
- Numerical studies on asymptotics of European option under multiscale stochastic volatility (Q1694499) (← links)
- Asymptotic and exact pricing of options on variance (Q1936829) (← links)
- Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model (Q2128181) (← links)
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach (Q2236410) (← links)
- Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? (Q2253520) (← links)
- CEV asymptotics of American options (Q2442980) (← links)
- Asymptotic approximations for pricing derivatives under mean-reverting processes (Q2816960) (← links)
- Asymptotic expansion for the characteristic function of a multiscale stochastic volatility model (Q2923239) (← links)
- MULTISCALE STOCHASTIC VOLATILITY MODEL FOR DERIVATIVES ON FUTURES (Q2941058) (← links)
- A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS (Q3067160) (← links)
- A polynomial scheme of asymptotic expansion for backward SDEs and option pricing (Q5001141) (← links)
- AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER (Q5158753) (← links)
- PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS (Q5158756) (← links)
- ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK (Q5370794) (← links)
- Asymptotic expansions of option price under regime-switching diffusions with a fast-varying switching process (Q5852563) (← links)
- Variational inequality arising from variable annuity with mean reversion environment (Q6142192) (← links)
