A multiscale extension of the Margrabe formula under stochastic volatility

DOI10.1016/j.chaos.2017.02.006zbMath1380.91132OpenAlexW2590651055MaRDI QIDQ1693945

Chang-Rae Park, Jeong-Hoon Kim

Publication date: 1 February 2018

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2017.02.006

zbMATH Keywords

stochastic volatilitymultiscaleGreeksexchange optionMargrabe's formula

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

A CLOSED-FORM PRICING FORMULA FOR EUROPEAN EXCHANGE OPTIONS WITH STOCHASTIC VOLATILITY ⋮ Valuing of timer path-dependent options ⋮ Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate ⋮ Representation of exchange option prices under stochastic volatility jump-diffusion dynamics ⋮ Unnamed Item ⋮ Unnamed Item

Cites Work

• Unnamed Item
• Exchange option pricing under stochastic volatility: a correlation expansion
• Role of noise in a market model with stochastic volatility
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
• Pricing Asian options with stochastic volatility
• Stochastic Volatility for Lévy Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stochastic differential equations. An introduction with applications.

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