A class of European option pricing models under non-smoothness conditions

MaRDI QIDQ3170697zbMATH OpenFDO

Authors Yansheng Ma

Publication date 29 September 2011

zbMATH Keywords

European optionssingular perturbationstochastic volatilitybackward partial differential equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Asymptotic expansions of solutions to PDEs (35C20)

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Cited in

(6)

• Asymptotic analysis for stochastic volatility: Edgeworth expansion
• Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model
• Hedging of the European option with nonsmooth payment function
• A uniform asymptotic expansion for stochastic volatility model in pricing multi-asset European options
• scientific article; zbMATH DE number 2099774 (Why is no real title available?)
• scientific article; zbMATH DE number 5909250 (Why is no real title available?)

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