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

zbMATH Open1240.91168MaRDI QIDQ3170697FDOQ3170697

Authors: Yansheng Ma 

Publication date: 29 September 2011

Recommendations

• Uniform asymptotic expansions for pricing European options
• Pricing of options in the singular perturbed stochastic volatility model
• Singular Perturbations in Option Pricing
• A uniform asymptotic expansion for stochastic volatility model in pricing multi-asset European options
• Pricing options under stochastic volatility: a power series approach

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)

Cited In (5)

• Title not available (Why is that?)
• Asymptotic analysis for stochastic volatility: Edgeworth expansion
• Hedging of the European option with nonsmooth payment function
• Title not available (Why is that?)
• Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model

This page was built for publication: A class of European option pricing models under non-smoothness conditions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3170697)