Matched asymptotic expansions in financial engineering

DOI10.1007/s10665-005-7716-zzbMath1099.91061OpenAlexW2131116134MaRDI QIDQ2501093

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

zbMATH Keywords

stochastic volatilityoption pricingmatched asymptotic expansionsfinancial derivatives

Mathematics Subject Classification ID

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

Related Items (21)

Essentially exact asymptotic solutions for Asian derivatives ⋮ A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options ⋮ Exact and approximate solutions for options with time-dependent stochastic volatility ⋮ Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration ⋮ Pricing derivatives with barriers in a stochastic interest rate environment ⋮ An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching ⋮ Stochastic Correlation and Volatility Mean-reversion– Empirical Motivation and Derivatives Pricing via Perturbation Theory ⋮ Stochastic elasticity of variance with stochastic interest rates ⋮ Hybridized successive complementary expansions for solving convection-dominated 2D elliptic PDEs with boundary layers ⋮ Analytical approximation of the transition density in a local volatility model ⋮ Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives ⋮ Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls ⋮ LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS ⋮ On a free boundary problem for an American put option under the CEV process ⋮ Matching asymptotics in path-dependent option pricing ⋮ A new analytical approximation for European puts with stochastic volatility ⋮ Asymptotics of Barrier Option Pricing Under the CEV Process ⋮ SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING ⋮ THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS ⋮ Displaced Diffusion as an Approximation of the Constant Elasticity of Variance ⋮ Positive numerical solution for a nonarbitrage liquidity model using nonstandard finite difference schemes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Market Volatility and Feedback Effects from Dynamic Hedging
• Diffusion of Dopant in Crystalline Silicon: An Asymptotic Analysis
• THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
• Convergence to Black-Scholes for ergodic volatility models
• Ray methods for free boundary problems
• A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
• Singular Perturbations in Option Pricing
• The Feedback Effect of Hedging in Illiquid Markets
• General Black-Scholes models accounting for increased market volatility from hedging strategies
• On the pricing and hedging of volatility derivatives
• Market liquidity and its effect on option valuation and hedging
• The Mathematics of Financial Derivatives
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

This page was built for publication: Matched asymptotic expansions in financial engineering