Option price with stochastic volatility for both fast and slow mean-reverting regimes

DOI10.1016/J.CRMA.2013.05.008zbMath1269.91090OpenAlexW2068647149MaRDI QIDQ357435

Jiguang Han, Ming Gao, Qiang Zhang

Publication date: 30 July 2013

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2013.05.008

zbMATH Keywords

option pricingapproximationHeston modelmean-reverting regime

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Ordinary differential equations and systems with randomness (34F05)

Related Items (1)

Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model

Cites Work

• Option prices under stochastic volatility
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Unnamed Item

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