ASYMPTOTIC APPROXIMATIONS FOR PRICING DERIVATIVES UNDER MEAN-REVERTING PROCESSES

DOI10.1142/S0219024916500308zbMath1396.91739MaRDI QIDQ2816960

Charles Tier, Richard Jordan

Publication date: 26 August 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

derivative pricingasymptotic approximationsmean-reverting processes

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Evaluating the noncentral chi-square distribution for the Cox-Ingersoll-Ross process
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Analysis, Geometry, and Modeling in Finance
• THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS
• ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS

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