Asymptotics for option pricing in stochastic volatility environment
zbMATH Open1185.91181MaRDI QIDQ3407385FDOQ3407385
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Publication date: 4 March 2010
Full work available at URL: http://pphmj.com/abstract/4580.htm
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- scientific article; zbMATH DE number 1867090
Ornstein-Uhlenbeck processfractional Brownian motionEuropean call optionfractional Itô-integralstochastic differential equation, Black-Scholes equation
Derivative securities (option pricing, hedging, etc.) (91G20) Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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- Option pricing under model involving slow growth volatility
- Convergence to Black-Scholes for ergodic volatility models
- Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
- Asymptotic analysis for foreign exchange derivatives with stochastic volatility
- Asymptotic behaviour of random maturity barrier options
- Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
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- Asymptotics of riskless profit under selling of discrete time call options
- Asymptotic option pricing under the CEV diffusion
- Asymptotics for option pricing in fractional stochastic volatility with arbitrary Hurst parameter
- A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’
- Small-Time Asymptotics of Option Prices and First Absolute Moments
- Option pricing under the fractional stochastic volatility model
- Asymptotic and exact pricing of options on variance
- PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS
- Stochastic volatility corrections for bond pricing in the fractional Vasicek model
- Implied volatility under fractional stochastic volatility in Black-Scholes model
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