Investment timing under hybrid stochastic and local volatility

DOI10.1016/J.CHAOS.2014.06.007zbMATH Open1349.91245OpenAlexW1979508562MaRDI QIDQ340490FDOQ340490

So Young Sohn, Jeong-Hoon Kim, Min-Ku Lee

Publication date: 14 November 2016

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2014.06.007

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zbMATH Keywords

investment timinghybrid stochastic and local volatility

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Portfolio theory (91G10) Perturbations in context of PDEs (35B20) Financial applications of other theories (91G80)

Cites Work

• The pricing of options and corporate liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stochastic calculus for finance. II: Continuous-time models.
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• Multiscale Stochastic Volatility Asymptotics
• A Khasminskii type averaging principle for stochastic reaction-diffusion equations
• On Stochastic Processes Defined by Differential Equations with a Small Parameter
• On the investment-uncertainty relationship in a real option model with stochastic volatility
• Strategic real options with stochastic volatility in a duopoly model
• Asymptotic theory of noncentered mixing stochastic differential equations
• THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM
• Title not available (Why is that?)
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• A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
• Option pricing under hybrid stochastic and local volatility

Cited In (5)

• Pricing of vulnerable options under hybrid stochastic and local volatility
• A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
• Title not available (Why is that?)
• Pricing perpetual American options under multiscale stochastic elasticity of variance
• Timing portfolio strategies with exponential Lévy processes

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