ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS

DOI10.1142/S0219024907004445zbMath1140.91368OpenAlexW2005777945MaRDI QIDQ3502980

Max O. Souza, Jorge P. Zubelli

Publication date: 20 May 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024907004445

zbMATH Keywords

asymptoticsstochastic volatility modelsvol-vol

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration ⋮ Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility ⋮ Strategic investment decisions under fast mean-reversion stochastic volatility

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