Option price with stochastic volatility for both fast and slow mean-reverting regimes

DOI10.1016/J.CRMA.2013.05.008MaRDI QIDQ357435zbMATH OpenOpenAlexFDO

Authors Jiguang Han, Ming Gao, Qiang Zhang

Publication date 30 July 2013

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2013.05.008

zbMATH Keywords

option pricingapproximationHeston modelmean-reverting regime

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 1409619 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Option prices under stochastic volatility

Cited in

(3)

• Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
• Pricing timer options under fast mean-reverting stochastic volatility
• An alternative model of stochastic volatility for option pricing: a regime-switching diffusion model under fast mean reversion

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