MULTISCALE STOCHASTIC VOLATILITY MODEL FOR DERIVATIVES ON FUTURES

DOI10.1142/S0219024914500435zbMath1303.91176arXiv1311.4249MaRDI QIDQ2941058

Jorge P. Zubelli, Jean-Pierre Fouque, Yuri F. Saporito

Publication date: 21 January 2015

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

Full work available at URL: https://arxiv.org/abs/1311.4249

zbMATH Keywords

stochastic volatilityperturbation methodcommoditiesfutures priceoptions on futures

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options ⋮ A scaled version of the double-mean-reverting model for VIX derivatives ⋮ Optimal Trading with Signals and Stochastic Price Impact ⋮ Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient ⋮ Asymptotic optimality of a first-order approximate strategy for an exponential utility maximization problem with a small coefficient of wealth-dependent risk aversion

Cites Work

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• Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
• Maturity cycles in implied volatility
• The mathematics of arbitrage
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
• Singular Perturbations in Option Pricing
• Stochastic Volatility Corrections for Interest Rate Derivatives

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