ASYMPTOTIC ANALYSIS FOR FOREIGN EXCHANGE DERIVATIVES WITH STOCHASTIC VOLATILITY

DOI10.1142/S0219024910006145zbMath1291.91204OpenAlexW1965413319MaRDI QIDQ3067767

Petter Wiberg, Avraam Rafailidis, Charles Cuthbertson, Grigorios A. Pavliotis

Publication date: 13 January 2011

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

Full work available at URL: https://doi.org/10.1142/s0219024910006145

zbMATH Keywords

stochastic volatilitymultiscale analysisderivatives pricingsingular perturbation theoryFX options

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Spectral Methods for Multiscale Stochastic Differential Equations ⋮ SECOND-ORDER STOCHASTIC VOLATILITY ASYMPTOTICS AND THE PRICING OF FOREIGN EXCHANGE DERIVATIVES

Cites Work

• On the pricing and hedging of volatility derivatives
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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