Multiscale Stochastic Volatility Asymptotics
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Perturbations, asymptotics of solutions to ordinary differential equations (34E10) Multiple scale methods for ordinary differential equations (34E13) Initial-boundary value problems for second-order parabolic equations (35K20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cited in
(only showing first 100 items - show all)- A remark on a singular perturbation method for option pricing under a stochastic volatility model
- On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis
- Pricing credit default swaps under a multi-scale stochastic volatility model
- Option pricing under fast-varying and rough stochastic volatility
- Approximate arbitrage-free option pricing under the SABR model
- Numerical studies on asymptotics of European option under multiscale stochastic volatility
- Pricing barrier options in the Heston model using the Heath-Platen estimator
- CAM stochastic volatility model for option pricing
- Boundary layer analysis for the stochastic nonlinear reaction-diffusion equations
- Asymptotic analysis for one-name credit derivatives
- Asymptotics for volatility derivatives in multi-factor rough volatility models
- Pricing of the geometric Asian options under a multifactor stochastic volatility model
- Variable annuity with a surrender option under multiscale stochastic volatility
- Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model
- An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model
- Option pricing under two-factor stochastic volatility jump-diffusion model
- An asymptotic expansion method for geometric Asian options pricing under the double Heston model
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach
- Correlated log-normal random variables under a multiscale volatility model
- A closed-form pricing formula for variance swaps under MRG-Vasicek model
- Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate
- Valuation of credit derivatives with multiple time scales in the intensity model
- Efficient simulation of a multi-factor stochastic volatility model
- Multiscale analysis on the pricing of intensity-based defaultable bonds
- Asymptotic expansion formula of option price under multifactor Heston model
- Large deviations for some fast stochastic volatility models by viscosity methods
- Option pricing under the jump diffusion and multifactor stochastic processes
- Closed-form implied volatility surfaces for stochastic volatility models with jumps
- The characteristic function of Gaussian stochastic volatility models: an analytic expression
- Convergence in multiscale financial models with non-Gaussian stochastic volatility
- Strategic investment decisions under fast mean-reversion stochastic volatility
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
- Calibrating the exponential Ornstein-Uhlenbeck multiscale stochastic volatility model
- Asymptotic expansion for the characteristic function of a multiscale stochastic volatility model
- Asymptotics for Rough Stochastic Volatility Models
- A fast mean-reverting correction to Heston's stochastic volatility model
- Calibration of Stock Betas from Skews of Implied Volatilities
- A unified framework for pricing credit and equity derivatives
- Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- scientific article; zbMATH DE number 2127974 (Why is no real title available?)
- SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
- Time-changed fast mean-reverting stochastic volatility models
- Optimal switching decisions under stochastic volatility with fast mean reversion
- Second-order stochastic volatility asymptotics and the pricing of foreign exchange derivatives
- Investment timing under hybrid stochastic and local volatility
- Stochastic Volatility Effects on Defaultable Bonds
- Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model
- Multiscale Intensity Models for Single Name Credit Derivatives
- ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS
- scientific article; zbMATH DE number 5299701 (Why is no real title available?)
- Pricing Options on Defaultable Stocks*
- Gaussian copula under multiscale volatility
- Turbo warrants under stochastic volatility
- scientific article; zbMATH DE number 1223766 (Why is no real title available?)
- Optimal control with random parameters: a multiscale approach
- Stability of a pure random delay system with two-time-scale Markovian switching
- Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
- Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- Small-time asymptotics for fast mean-reverting stochastic volatility models
- Short-time at-the-money skew and rough fractional volatility
- First-order asymptotics of path-dependent derivatives in multiscale stochastic volatility environment
- Equity-linked annuities with multiscale hybrid stochastic and local volatility
- Discount barrier option pricing with a stochastic interest rate: Mellin transform techniques and method of images
- Stochastic correlation and volatility mean-reversion -- empirical motivation and derivatives pricing via perturbation theory
- Approximation of Optimal Stopping Problems and Variational Inequalities Involving Multiple Scales in Economics and Finance
- Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models
- A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
- Decomposition formula for jump diffusion models
- Pricing Asian options with stochastic volatility
- TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?
- Multiscale exponential Lévy-type models
- Asymptotic analysis for stochastic volatility: martingale expansion
- Series expansion of the SABR joint density
- Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model
- Volatility has to be rough
- Application of power series approximation techniques to valuation of European style options
- Optimal trading with signals and stochastic price impact
- Small-time smile for the multifactor volatility Heston model
- scientific article; zbMATH DE number 7409459 (Why is no real title available?)
- PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS
- VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES
- Pricing derivatives on multiscale diffusions: an eigenfunction expansion approach
- A martingale control variate method for option pricing with stochastic volatility
- Pricing perpetual American options under a stochastic-volatility model with fast mean reversion
- Multi-scale time-changed birth processes for pricing multi-name credit derivatives
- Optimal investment with correlated stochastic volatility factors
- Simulation of Conditional Expectations Under Fast Mean-Reverting Stochastic Volatility Models
- Large deviations for Lévy diffusions in the small noise regime
- A smooth estimator for MC/QMC methods in finance
- Minimizing the probability of lifetime ruin under stochastic volatility
- Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model
- Multifactor Heston's stochastic volatility model for European option pricing
- Mean-variance portfolio with wealth and volatility dependent risk aversion
- Reconciling rough volatility with jumps
- Pricing variance swaps under stochastic volatility and stochastic interest rate
- Onsager-Machlup functional for stochastic differential equations with time-varying noise
- A survey of rough volatility
- Valuation of American put options under a modified 4/2 stochastic volatility model
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