Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration

DOI10.1007/s00780-016-0298-yzbMath1369.91180arXiv1208.5802OpenAlexW3124232963MaRDI QIDQ309158

Ronnie Sircar, Jean-Pierre Fouque, Matthew Lorig

Publication date: 7 September 2016

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1208.5802

zbMATH Keywords

accuracycalibrationimplied volatility surfacemultiscale stochastic volatility modelsoption pricing approximation

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (19)

EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS ⋮ A closed-form approximation formula for pricing European options under a three-factor model ⋮ ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE ⋮ Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options ⋮ FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT ⋮ A scaled version of the double-mean-reverting model for VIX derivatives ⋮ Stochastic elasticity of variance with stochastic interest rates ⋮ Robust Numerical Calibration for Implied Volatility Expansion Models ⋮ Bilateral XVA pricing under stochastic default intensity: PDE modelling and computation ⋮ Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation ⋮ Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon ⋮ Unnamed Item ⋮ Analytical and numerical studies on the second-order asymptotic expansion method for European option pricing under two-factor stochastic volatilities ⋮ SECOND-ORDER STOCHASTIC VOLATILITY ASYMPTOTICS AND THE PRICING OF FOREIGN EXCHANGE DERIVATIVES ⋮ Pricing turbo warrants under stochastic elasticity of variance ⋮ PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS ⋮ Stochastic elasticity of vol-of-vol and pricing of variance swaps ⋮ Pricing of the geometric Asian options under a multifactor stochastic volatility model ⋮ Parameter identification for portfolio optimization with a slow stochastic factor

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