A multiscale extension of the Margrabe formula under stochastic volatility

DOI10.1016/J.CHAOS.2017.02.006MaRDI QIDQ1693945zbMATH OpenOpenAlexFDO

Authors Jeong-Hoon Kim, Chang-Rae Park

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

exchange optionGreeksMargrabe's formulamultiscalestochastic volatility

Mathematics Subject Classification ID

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

Recommendations

• Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
• Pricing vulnerable options under a stochastic volatility model
• Second-order stochastic volatility asymptotics and the pricing of foreign exchange derivatives
• scientific article; zbMATH DE number 5260301
• Asymptotic analysis for foreign exchange derivatives with stochastic volatility

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
• Exchange option pricing under stochastic volatility: a correlation expansion
• scientific article; zbMATH DE number 1181255 (Why is no real title available?)
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Pricing Asian options with stochastic volatility
• Role of noise in a market model with stochastic volatility
• Stochastic differential equations. An introduction with applications.
• Stochastic Volatility for Lévy Processes

Cited in

(14)

• A probabilistic approach for valuing exchange option with default risk
• Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model
• A closed-form pricing formula for european exchange options with stochastic volatility
• Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
• Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation
• scientific article; zbMATH DE number 7409459 (Why is no real title available?)
• Simplified approach to valuation of vulnerable exchange option under a reduced-form model
• Valuing of timer path-dependent options
• Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate
• Pricing exchange options under hybrid stochastic volatility and interest rate models
• Pricing of timer volatility-barrier options under Heston's stochastic volatility model
• A closed-form approximation for pricing spread options on futures under a mean-reverting spot price model with multiscale stochastic volatility
• Valuation of exchange option with stochastic liquidity risk: a probabilistic approach
• Pricing of vulnerable digital exchange options under stochastic interest rate model

This page was built for publication: A multiscale extension of the Margrabe formula under stochastic volatility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1693945)