ASYMPTOTIC EXPANSION FOR THE CHARACTERISTIC FUNCTION OF A MULTISCALE STOCHASTIC VOLATILITY MODEL

DOI10.12732/ijam.v27i3.2zbMath1300.91055OpenAlexW2170116914MaRDI QIDQ2923239

Luca Di Persio, Francesco Giuseppe Cordoni

Publication date: 15 October 2014

Published in: International Journal of Apllied Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/71267b44db41bfeed63ebb2dbdb32fa6632ed065

zbMATH Keywords

stochastic volatilitycharacteristic functionasymptoticimplied volatility smile/skewfast mean-reversion

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Limit theorems in probability theory (60F99) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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