Investment timing under hybrid stochastic and local volatility

DOI10.1016/J.CHAOS.2014.06.007MaRDI QIDQ340490zbMATH OpenOpenAlexFDO

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

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

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)

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Cites work

• scientific article; zbMATH DE number 3692372 (Why is no real title available?)
• scientific article; zbMATH DE number 1223766 (Why is no real title available?)
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• A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Asymptotic theory of noncentered mixing stochastic differential equations
• Multiscale Stochastic Volatility Asymptotics
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• On Stochastic Processes Defined by Differential Equations with a Small Parameter
• On the investment-uncertainty relationship in a real option model with stochastic volatility
• Option pricing under hybrid stochastic and local volatility
• Stochastic calculus for finance. II: Continuous-time models.
• Strategic real options with stochastic volatility in a duopoly model
• THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM
• The pricing of options and corporate liabilities

Cited in

(7)

• Strategic investment decisions under fast mean-reversion stochastic volatility
• On the investment-uncertainty relationship in a real option model with stochastic volatility
• The pricing of vulnerable foreign exchange options under a multiscale stochastic volatility model
• 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
• Pricing perpetual American options under multiscale stochastic elasticity of variance
• Timing portfolio strategies with exponential Lévy processes

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