Financial modeling in a fast mean-reverting stochastic volatility environment

DOI10.1023/A:1010010626460zbMath1157.91358MaRDI QIDQ1012317

K. Ronnie Sircar, Jean-Pierre Fouque, George S. Papanicolaou

Publication date: 15 April 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

zbMATH Keywords

stochastic equationsstochastic volatilityoption pricingincomplete markets

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Asymptotic Expansion Approach in Finance ⋮ Stochastic Volatility Corrections for Interest Rate Derivatives ⋮ Stochastic Correlation and Volatility Mean-reversion– Empirical Motivation and Derivatives Pricing via Perturbation Theory ⋮ IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY ⋮ RENORMALIZATION OF BLACK-SCHOLES EQUATION FOR STOCHASTICALLY FLUCTUATING INTEREST RATE ⋮ FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES ⋮ Unnamed Item ⋮ A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD ⋮ A closed-form expansion approach for pricing discretely monitored variance swaps ⋮ A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS ⋮ Infinite server queues in a random fast oscillatory environment ⋮ A remark on a singular perturbation method for option pricing under a stochastic volatility model ⋮ AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS

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