Matched asymptotic expansions in financial engineering

DOI10.1007/S10665-005-7716-ZzbMATH Open1099.91061OpenAlexW2131116134MaRDI QIDQ2501093FDOQ2501093

Authors: S. D. Howison 

Publication date: 4 September 2006

Published in: Journal of Engineering Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10665-005-7716-z

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zbMATH Keywords

option pricingstochastic volatilitymatched asymptotic expansionsfinancial derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Matching models (91B68)

Cites Work

• The pricing of options and corporate liabilities
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Singular Perturbations in Option Pricing
• Title not available (Why is that?)
• Title not available (Why is that?)
• The Feedback Effect of Hedging in Illiquid Markets
• General Black-Scholes models accounting for increased market volatility from hedging strategies
• The Mathematics of Financial Derivatives
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• Convergence to Black-Scholes for ergodic volatility models
• Title not available (Why is that?)
• On the pricing and hedging of volatility derivatives
• Market volatility and feedback effects from dynamic hedging
• THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
• A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
• Ray methods for free boundary problems
• Diffusion of Dopant in Crystalline Silicon: An Asymptotic Analysis
• Market liquidity and its effect on option valuation and hedging

Cited In (21)

• Essentially exact asymptotic solutions for Asian derivatives
• Local stochastic volatility with jumps: analytical approximations
• Positive numerical solution for a nonarbitrage liquidity model using nonstandard finite difference schemes
• A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
• SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING
• Exact and approximate solutions for options with time-dependent stochastic volatility
• THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS
• An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
• On a free boundary problem for an American put option under the CEV process
• Hybridized successive complementary expansions for solving convection-dominated 2D elliptic PDEs with boundary layers
• Asymptotics of barrier option pricing under the CEV process
• Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
• Asymptotic solutions for Australian options with low volatility
• Matching asymptotics in path-dependent option pricing
• Pricing derivatives with barriers in a stochastic interest rate environment
• Stochastic correlation and volatility mean-reversion -- empirical motivation and derivatives pricing via perturbation theory
• Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives
• A new analytical approximation for European puts with stochastic volatility
• Displaced diffusion as an approximation of the constant elasticity of variance
• Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
• Stochastic elasticity of variance with stochastic interest rates

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