Pricing perpetual American options under a stochastic-volatility model with fast mean reversion

DOI10.1016/j.aml.2011.04.011zbMath1216.91035OpenAlexW2087951871MaRDI QIDQ550461

Song-Ping Zhu, Wen-Ting Chen

Publication date: 11 July 2011

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2011.04.011

zbMATH Keywords

perturbation methodperpetual American put optionsfast mean-reverting stochastic volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

Related Items (6)

Optimal switching decisions under stochastic volatility with fast mean reversion ⋮ Pricing of options in the singular perturbed stochastic volatility model ⋮ Valuing of timer path-dependent options ⋮ Unnamed Item ⋮ An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model. ⋮ To expand and to abandon: real options under asset variance risk premium

Cites Work

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• A spectral-collocation method for pricing perpetual American puts with stochastic volatility
• Strategic investment decisions under fast mean-reversion stochastic volatility
• SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
• THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM
• A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
• Singular Perturbations in Option Pricing
• Multiscale Stochastic Volatility Asymptotics
• Randomization and the American Put

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