SECOND-ORDER STOCHASTIC VOLATILITY ASYMPTOTICS AND THE PRICING OF FOREIGN EXCHANGE DERIVATIVES

DOI10.1142/S0219024920500211zbMath1447.91181OpenAlexW3044980328MaRDI QIDQ3304210

Tommaso Pellegrino

Publication date: 5 August 2020

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

Full work available at URL: https://doi.org/10.1142/s0219024920500211

zbMATH Keywords

stochastic volatilityasymptotic analysissingular perturbation theoryFX derivatives pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Singular perturbations for ordinary differential equations (34E15)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
• ASYMPTOTIC ANALYSIS FOR FOREIGN EXCHANGE DERIVATIVES WITH STOCHASTIC VOLATILITY
• Multiscale Stochastic Volatility Asymptotics
• A comparison of biased simulation schemes for stochastic volatility models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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