Pricing perpetual American options under multiscale stochastic elasticity of variance

DOI10.1016/j.chaos.2014.10.012zbMath1351.91021OpenAlexW2059015911MaRDI QIDQ728150

Ji-Hun Yoon

Publication date: 19 December 2016

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

Full work available at URL: https://doi.org/10.1016/j.chaos.2014.10.012

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Investment timing under hybrid stochastic and local volatility
• A closed-form analytic correction to the Black-Scholes-Merton price for perpetual American options
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• Pricing perpetual American puts under multi-scale stochastic volatility
• THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM
• A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
• Multiscale Stochastic Volatility Asymptotics
• Portfolio optimization under the stochastic elasticity of variance
• Unnamed Item

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