Turbo warrants under hybrid stochastic and local volatility

DOI10.1155/2014/407145zbMath1406.91447OpenAlexW2070881695WikidataQ59037525 ScholiaQ59037525MaRDI QIDQ1724051

Sun-Hwa Cho, Jeong-Hoon Kim, Min-Ku Lee, Ji-Hun Yoon

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/407145

zbMATH Keywords

Ornstein-Uhlenbeck processlocal volatility modelhybrid stochastic modelturbo warrants pricing

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Turbo warrants under stochastic volatility
• Singular Perturbations in Option Pricing
• Stochastic Volatility for Lévy Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing under hybrid stochastic and local volatility
• Stochastic differential equations. An introduction with applications.

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