Matching asymptotics in path-dependent option pricing

DOI10.1016/J.JMAA.2010.01.042zbMath1233.91289OpenAlexW1984061534MaRDI QIDQ968852

Sang-Hyeon Park, Sun-Yong Choi, Jeong-Hoon Kim

Publication date: 10 May 2010

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2010.01.042

zbMATH Keywords

stochastic volatilitysingularitymatched asymptotic expansionpath-dependent option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

An analytical approximation method for pricing barrier options under the double Heston model ⋮ Asymptotic option pricing under the CEV diffusion ⋮ Stochastic volatility asymptotics of stock loans: valuation and optimal stopping ⋮ CCF approach for asymptotic option pricing under the CEV diffusion

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Lookback options and dynamic fund protection under multiscale stochastic volatility
• Matched asymptotic expansions in financial engineering
• A Continuity Correction for Discrete Barrier Options
• Double Lookbacks
• Singular Perturbations in Option Pricing
• QUANTO LOOKBACK OPTIONS
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Arbitrage Theory in Continuous Time
• Stochastic differential equations. An introduction with applications.

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