Asymptotic expansion for the characteristic function of a multiscale stochastic volatility model

DOI10.12732/IJAM.V27I3.2MaRDI QIDQ2923239zbMATHOpenAlexFDO

Authors Luca Di Persio, Francesco Cordoni

Publication date 15 October 2014

Published in International Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/71267b44db41bfeed63ebb2dbdb32fa6632ed065

zbMATH Keywords

characteristic functionasymptoticstochastic volatilityimplied volatility smile/skewfast mean-reversion

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Limit theorems in probability theory (60F99) Stochastic models in economics (91B70) Financial applications of other theories (91G80)

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Cited in

(4)

• scientific article; zbMATH DE number 7409459 (Why is no real title available?)
• Asymptotic expansion for some local volatility models arising in finance
• The characteristic function of Gaussian stochastic volatility models: an analytic expression
• Asymptotic analysis for stochastic volatility: martingale expansion

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