FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT (Q4565075): Difference between revisions

Latest revision as of 10:45, 30 July 2024

scientific article; zbMATH DE number 6882231

Language	Label	Description	Also known as
English	FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT	scientific article; zbMATH DE number 6882231

Statements

instance of

scholarly article

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title

FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT (English)

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author

Yuri F. Saporito

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published in

International Journal of Theoretical and Applied Finance

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publication date

7 June 2018

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full work available at URL

https://arxiv.org/abs/1712.07320

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zbMATH Keywords

functional Itô calculus

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multiscale stochastic volatility

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path dependence

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MaRDI profile type

MaRDI publication profile

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cites work

Functional Itō calculus and stochastic integral representation of martingales

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Functional Itô calculus

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Pricing Asian options with stochastic volatility

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Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration

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Multiscale Stochastic Volatility Asymptotics

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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Functional Itô calculus, path-dependence and the computation of Greeks

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PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH

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Identifiers

zbMATH Open document ID

1398.91614

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DOI

10.1142/S0219024918500243

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4565075

@@ Property / arXiv ID @@
+.07320
@@ Property / arXiv ID: 1712.07320 / rank @@
+Normal rank
@@ Property / cites work @@
+Functional Itō calculus and stochastic integral representation of martingales
+Normal rank
@@ Property / cites work @@
+Functional Itô calculus
@@ Property / cites work: Functional Itô calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Asian options with stochastic volatility
@@ Property / cites work: Pricing Asian options with stochastic volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
+Normal rank
@@ Property / cites work @@
+Multiscale Stochastic Volatility Asymptotics
@@ Property / cites work: Multiscale Stochastic Volatility Asymptotics / rank @@
+Normal rank
@@ Property / cites work @@
+Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Functional Itô calculus, path-dependence and the computation of Greeks
+Normal rank
@@ Property / cites work @@
+PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH
+Normal rank
@@ Property / OpenAlex ID @@
+W2949354036
@@ Property / OpenAlex ID: W2949354036 / rank @@
+Normal rank