Convergence to Black-Scholes for ergodic volatility models
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Publication:3373764
DOI10.1017/S0956792505006285zbMath1136.91423OpenAlexW2161348852MaRDI QIDQ3373764
Michael G. Sullivan, Joseph G. Conlon
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
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration ⋮ Asymptotic analysis for stochastic volatility: martingale expansion ⋮ On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model ⋮ Matched asymptotic expansions in financial engineering ⋮ A remark on a singular perturbation method for option pricing under a stochastic volatility model ⋮ A chaos expansion approach under hybrid volatility models
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