Matching asymptotics in path-dependent option pricing

DOI10.1016/J.JMAA.2010.01.042MaRDI QIDQ968852zbMATH OpenOpenAlexFDO

Authors 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

singularitystochastic volatilitymatched asymptotic expansionpath-dependent option

Mathematics Subject Classification ID

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

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Cites work

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• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A continuity correction for discrete barrier options
• Arbitrage Theory in Continuous Time
• Double lookbacks
• Lookback options and dynamic fund protection under multiscale stochastic volatility
• Matched asymptotic expansions in financial engineering
• Mathematical methods in science and engineering
• QUANTO LOOKBACK OPTIONS
• Singular Perturbations in Option Pricing
• Stochastic differential equations. An introduction with applications.
• The pricing of options and corporate liabilities

Cited in

(8)

• Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
• Asymptotic behavior of optimal paths in continuous-time Gale models
• Singular Perturbations for Boundary Value Problems Arising from Exotic Options
• CCF approach for asymptotic option pricing under the CEV diffusion
• scientific article; zbMATH DE number 2159230 (Why is no real title available?)
• Asymptotic option pricing under the CEV diffusion
• Matched asymptotic expansions in financial engineering
• An analytical approximation method for pricing barrier options under the double Heston model

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