Investment timing under hybrid stochastic and local volatility

DOI10.1016/J.CHAOS.2014.06.007zbMath1349.91245OpenAlexW1979508562MaRDI QIDQ340490

So Young Sohn, Jeong-Hoon Kim, Min-Ku Lee

Publication date: 14 November 2016

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2014.06.007

zbMATH Keywords

investment timinghybrid stochastic and local volatility

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Perturbations in context of PDEs (35B20) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (4)

Pricing of vulnerable options under hybrid stochastic and local volatility ⋮ Unnamed Item ⋮ A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE ⋮ Pricing perpetual American options under multiscale stochastic elasticity of variance

Cites Work

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