Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility

DOI10.1016/j.orl.2011.06.002zbMath1242.91185OpenAlexW2087968422MaRDI QIDQ433133

Mei Choi Chiu, Hoi Ying Wong, Yu Wai Lo

Publication date: 13 July 2012

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2011.06.002

zbMATH Keywords

stochastic volatilityoption pricingmean reversionmultiscale asymptotic

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

Pricing credit default swaps under a multi-scale stochastic volatility model ⋮ Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model ⋮ MULTISCALE STOCHASTIC VOLATILITY MODEL FOR DERIVATIVES ON FUTURES ⋮ Variational inequality arising from variable annuity with mean reversion environment ⋮ Stochastic volatility asymptotics of stock loans: valuation and optimal stopping ⋮ CEV asymptotics of American options ⋮ AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER ⋮ Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?

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