Strategic investment decisions under fast mean-reversion stochastic volatility

DOI10.1002/asmb.833zbMath1274.91472OpenAlexW2097390438MaRDI QIDQ2862421

Max O. Souza, Jorge P. Zubelli

Publication date: 15 November 2013

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.833

zbMATH Keywords

stochastic volatilityasymptotic analysisreal optionsperpetual American options

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (3)

Optimal switching decisions under stochastic volatility with fast mean reversion ⋮ Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy ⋮ Pricing perpetual American options under a stochastic-volatility model with fast mean reversion

Cites Work

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• Maturity cycles in implied volatility
• Stochastic Volatility Effects on Defaultable Bonds
• ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS
• Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
• Regularity of the free boundary of an American option on several assets
• Multiscale Stochastic Volatility Asymptotics
• Stochastic Volatility Corrections for Interest Rate Derivatives
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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