Multiscale analysis of a perpetual American option with the stochastic elasticity of variance

DOI10.1016/J.AML.2012.11.015MaRDI QIDQ2339015zbMATH OpenOpenAlexFDO

Authors Ji-Hun Yoon, Jeong-Hoon Kim, Sun-Yong Choi

Publication date 30 March 2015

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2012.11.015

zbMATH Keywords

constant elasticity of variancemultiscale analysisperpetual American optionstochastic elasticity of variance

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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• Asymptotic theory of noncentered mixing stochastic differential equations
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• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• On Stochastic Processes Defined by Differential Equations with a Small Parameter
• Singular Perturbations in Option Pricing
• THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM
• The pricing of options and corporate liabilities

Cited in

(11)

• Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model
• The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach
• A closed-form analytic correction to the Black-Scholes-Merton price for perpetual American options
• Multiscale stochastic elasticity of variance for options and equity linked annuity; a Mellin transform approach
• Estimating the constant elasticity of variance model with data-driven Markov chain Monte Carlo methods
• Pricing perpetual American puts under multi-scale stochastic volatility
• Perpetual options on multiple underlyings
• Pricing turbo warrants under stochastic elasticity of variance
• Portfolio optimization under the stochastic elasticity of variance
• Pricing perpetual American options under multiscale stochastic elasticity of variance
• Stochastic elasticity of variance with stochastic interest rates

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