A new analytical approximation for European puts with stochastic volatility

DOI10.1016/J.AML.2010.02.009zbMath1186.91224OpenAlexW2070511271MaRDI QIDQ972953

Wen-Ting Chen, Song-Ping Zhu

Publication date: 21 May 2010

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

Full work available at URL: https://doi.org/10.1016/j.aml.2010.02.009

zbMATH Keywords

singular perturbationHeston modelEuropean put options

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching ⋮ A semi-analytic valuation of American options under a two-state regime-switching economy ⋮ SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT? ⋮ Unnamed Item ⋮ A robust spectral method for solving Heston's model

Uses Software

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Cites Work

• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• Matched asymptotic expansions in financial engineering
• THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• American options on assets with dividends near expiry
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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