A remark on a singular perturbation method for option pricing under a stochastic volatility model

DOI10.1007/s10690-009-9099-zzbMath1177.91133OpenAlexW2058211309MaRDI QIDQ1044240

Akihiko Takahashi, Kyo Yamamoto

Publication date: 11 December 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-009-9099-z

zbMATH Keywords

singular perturbationstochastic volatilityoption pricingpartial differential equationapproximation accuracy

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach ⋮ Asymptotic Expansion Approach in Finance ⋮ PROBABILITY DISTRIBUTION AND OPTION PRICING FOR DRAWDOWN IN A STOCHASTIC VOLATILITY ENVIRONMENT ⋮ NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME ⋮ Large deviations for some fast stochastic volatility models by viscosity methods

Cites Work

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• FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES
• PROBABILITY DISTRIBUTION AND OPTION PRICING FOR DRAWDOWN IN A STOCHASTIC VOLATILITY ENVIRONMENT
• Singular Perturbations in Option Pricing
• Multiscale Stochastic Volatility Asymptotics
• Stochastic Volatility Corrections for Interest Rate Derivatives
• Singular Perturbations for Boundary Value Problems Arising from Exotic Options

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