Turbo warrants under stochastic volatility

DOI10.1080/14697680701691469zbMath1154.91486OpenAlexW3121749203WikidataQ58981121 ScholiaQ58981121MaRDI QIDQ3605234

Hoi Ying Wong, Chun Man Chan

Publication date: 23 February 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680701691469

zbMATH Keywords

capital structureapplied econometricsapplications to default riskapplied mathematical financeapplied finance

Mathematics Subject Classification ID

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Cites Work

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• Lookback options and dynamic fund protection under multiscale stochastic volatility
• Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Stochastic Volatility Effects on Defaultable Bonds
• Distribution of occupation times for constant elasticity of variance diffusion and the pricing ofα-quantile options
• Multiscale Stochastic Volatility Asymptotics
• Stochastic Volatility Corrections for Interest Rate Derivatives
• Singular Perturbations for Boundary Value Problems Arising from Exotic Options
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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