An alternative model of stochastic volatility for option pricing: a regime-switching diffusion model under fast mean reversion

zbMATH Open1181.91321MaRDI QIDQ3635263FDOQ3635263

Authors: Yu Sun, G. Yin 

Publication date: 6 July 2009

Recommendations

• Asymptotic expansions of option price under regime-switching diffusions with a fast-varying switching process
• Option price with stochastic volatility for both fast and slow mean-reverting regimes
• Option pricing in a regime switching stochastic volatility model
• Convergence to Black-Scholes for ergodic volatility models
• Small-time asymptotics for fast mean-reverting stochastic volatility models

zbMATH Keywords

asymptotic expansionfast mean reversiontwo-time scale

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Central limit and other weak theorems (60F05) Continuous-time Markov processes on discrete state spaces (60J27) Asymptotic expansions of solutions to ordinary differential equations (34E05)

Cited In (6)

• Dynamics of a mean-reverting stochastic volatility equation with regime switching
• Convergence to Black-Scholes for ergodic volatility models
• Simple approximations for option pricing under mean reversion and stochastic volatility
• Asymptotic expansions of option price under regime-switching diffusions with a fast-varying switching process
• Option pricing in a regime switching stochastic volatility model
• Option price with stochastic volatility for both fast and slow mean-reverting regimes

This page was built for publication: An alternative model of stochastic volatility for option pricing: a regime-switching diffusion model under fast mean reversion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3635263)