Pricing perpetual American puts under multi-scale stochastic volatility
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Publication:3143624
DOI10.3233/ASY-2012-1110zbMath1272.91119MaRDI QIDQ3143624
Publication date: 3 December 2012
Published in: Asymptotic Analysis (Search for Journal in Brave)
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Pricing credit default swaps under a multi-scale stochastic volatility model ⋮ Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model ⋮ Optimal switching decisions under stochastic volatility with fast mean reversion ⋮ Unnamed Item ⋮ The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach ⋮ PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS ⋮ Pricing perpetual American options under multiscale stochastic elasticity of variance
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