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

DOI10.1016/J.CRMA.2013.05.008zbMATH Open1269.91090OpenAlexW2068647149MaRDI QIDQ357435FDOQ357435

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

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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)

Cites Work

• 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
• Title not available (Why is that?)
• Option prices under stochastic volatility

Cited In (2)

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

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