Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model

DOI10.1016/J.CHAOS.2020.110411zbMATH Open1496.91082OpenAlexW3105518960MaRDI QIDQ2128181FDOQ2128181

Authors: Guohe Deng 

Publication date: 21 April 2022

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

Full work available at URL: https://doi.org/10.1016/j.chaos.2020.110411

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zbMATH Keywords

nonlinear parabolic problemmultiscale stochastic volatilitymultiscale asymptotic techniqueperpetual American lookback option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20)

Cites Work

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Cited In (8)

• Perpetual cancellable American options with convertible features
• Lookback option pricing under the double Heston model using a deep learning algorithm
• Robust and accurate construction of the local volatility surface using the Black-Scholes equation
• Pricing perpetual American puts under multi-scale stochastic volatility
• Multiscale analysis of a perpetual American option with the stochastic elasticity of variance
• Lookback options and dynamic fund protection under multiscale stochastic volatility
• Valuing of timer path-dependent options
• Pricing perpetual American options under multiscale stochastic elasticity of variance

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