The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach
DOI10.1155/2021/1217665zbMath1471.91624OpenAlexW3199853029MaRDI QIDQ2236410
Shuang Li, Shican Liu, Yan-Li Zhou, Xiang-Yu Ge
Publication date: 22 October 2021
Published in: Journal of Function Spaces (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2021/1217665
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- Unnamed Item
- Assessing the least squares Monte-Carlo approach to American option valuation
- On the pricing of American options
- Penalty methods for the numerical solution of American multi-asset option problems
- Multiscale analysis of a perpetual American option with the stochastic elasticity of variance
- Option pricing under the jump diffusion and multifactor stochastic processes
- 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
- Pricing perpetual American puts under multi-scale stochastic volatility
- SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
- FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES
- Perturbed Gaussian copula
- Pricing American Options: A Duality Approach
- Multigrid for American option pricing with stochastic volatility
- Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
- Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment
- Multiscale Stochastic Volatility Asymptotics
- Monte Carlo valuation of American options
- Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Randomization and the American Put
This page was built for publication: The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach
