Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
From MaRDI portal
Publication:309158
DOI10.1007/s00780-016-0298-yzbMath1369.91180arXiv1208.5802MaRDI 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
accuracy; calibration; implied volatility surface; multiscale stochastic volatility models; option pricing approximation
91B70: Stochastic models in economics
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
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