PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS

DOI10.1017/S1446181121000249zbMath1471.91585OpenAlexW4243312296MaRDI QIDQ5158756

Sheng-Jhih Wu, Xuhui Wang, Xing Ye Yue

Publication date: 26 October 2021

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446181121000249

zbMATH Keywords

singular perturbationstochastic volatilityimplied volatilitymultiscale asymptoticstimer option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

\( C^{1,\alpha}\) regularity for degenerate parabolic equations arising from the Heston model

Cites Work

• Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
• Alternative models for stock price dynamics.
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• Pricing perpetual American puts under multi-scale stochastic volatility
• Singular Perturbations in Option Pricing
• Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
• INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS
• Multiscale Stochastic Volatility Asymptotics
• PRICING PERPETUAL TIMER OPTION UNDER THE STOCHASTIC VOLATILITY MODEL OF HULL–WHITE
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Asymptotic expansions of option price under regime-switching diffusions with a fast-varying switching process
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