Multiscale stochastic elasticity of variance for options and equity linked annuity; a Mellin transform approach

DOI10.1016/J.MATCOM.2021.09.003OpenAlexW3199323354MaRDI QIDQ2666525

Jun-Ho Seo, Jeong-Hoon Kim

Publication date: 22 November 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2021.09.003

zbMATH Keywords

Mellin transformoptionmultiscalestochastic elasticity varianceequity linked annuity

Mathematics Subject Classification ID

Mechanics of deformable solids (74-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Unnamed Item
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• Option pricing with Mellin transforms
• Mellin transform method for European option pricing with Hull-White stochastic interest rate
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• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Equity-linked annuities with multiscale hybrid stochastic and local volatility
• AN APPROXIMATED EUROPEAN OPTION PRICE UNDER STOCHASTIC ELASTICITY OF VARIANCE USING MELLIN TRANSFORMS
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
• Valuing Equity-Indexed Annuities
• A method for the solution of certain non-linear problems in least squares

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