Numerical studies on asymptotics of European option under multiscale stochastic volatility

DOI10.1007/s11009-017-9553-8zbMath1408.91207OpenAlexW2598737177MaRDI QIDQ1694499

Ying Ni, Anatoliy Malyarenko, Betuel Canhanga, Jean-Paul Murara, Sergei D. Silvestrov

Publication date: 2 February 2018

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-017-9553-8

zbMATH Keywords

singular perturbationasymptotic expansionregular perturbationEuropean optionfinancial marketstochastic volatilitiesmean reversion volatility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Short maturity conditional Asian options in local volatility models ⋮ Analytical and numerical studies on the second-order asymptotic expansion method for European option pricing under two-factor stochastic volatilities

Cites Work

• Unnamed Item
• American option pricing under two stochastic volatility processes
• Two singular diffusion problems
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well

This page was built for publication: Numerical studies on asymptotics of European option under multiscale stochastic volatility