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

matched asymptotic expansionpath-dependent optionsingularitystochastic volatility

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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• Arbitrage Theory in Continuous Time
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• 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
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• The pricing of options and corporate liabilities

Cited in

(8)

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

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