Convergence to Black-Scholes for ergodic volatility models

DOI10.1017/S0956792505006285MaRDI QIDQ3373764zbMATHOpenAlexFDO

Authors Joseph G. Conlon, Michael G. Sullivan

Publication date 9 March 2006

Published in European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0956792505006285

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(11)

• A remark on a singular perturbation method for option pricing under a stochastic volatility model
• Convergence rates results for recovering the volatility term structure including at-the-money options
• A chaos expansion approach under hybrid volatility models
• Convergence of At-The-Money Implied Volatilities to the Spot Volatility
• An alternative model of stochastic volatility for option pricing: a regime-switching diffusion model under fast mean reversion
• Matched asymptotic expansions in financial engineering
• Proof of non-convergence of the short-maturity expansion for the SABR model
• Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
• On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model
• ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS
• Asymptotic analysis for stochastic volatility: martingale expansion

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