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

DOI10.12732/IJAM.V27I3.2zbMATH Open1300.91055OpenAlexW2170116914MaRDI QIDQ2923239FDOQ2923239

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

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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)

Cited In (4)

• Asymptotic expansion for some local volatility models arising in finance
• Title not available (Why is that?)
• Asymptotic analysis for stochastic volatility: martingale expansion
• The characteristic function of Gaussian stochastic volatility models: an analytic expression

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