Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility
DOI10.3934/jimo.2021057zbMath1499.91139OpenAlexW3149397915MaRDI QIDQ2673416
Chi-Wing Wong, Wai-Ki Ching, Jia-Wen Gu, Wan-Hua He, Chufang Wu
Publication date: 9 June 2022
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2021057
stochastic volatilityasymptotic analysisjump-diffusionOrnstein-Uhlenbeck (OU) processvulnerable option
Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) Jump processes on discrete state spaces (60J74)
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Cites Work
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