scientific article; zbMATH DE number 1223766

MaRDI QIDQ4219085zbMATH OpenFDO

Authors Jean-Pierre Fouque, K. Ronnie Sircar, George Papanicolaou

Publication date 15 November 1998

zbMATH Keywords

stochastic volatilityasset pricevolatility riskasymptotic analysis of derivative pricesasymptotic formula for options pricing

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(13)

• Turbo warrants under hybrid stochastic and local volatility
• Pricing vulnerable options under a stochastic volatility model
• On the analysis of a generalised mean-reverting stochastic model with two uncorrelated Brownian motions
• Stochastic volatility models at = 1 as second class constrained Hamiltonian systems
• The pricing of vulnerable foreign exchange options under a multiscale stochastic volatility model
• Pricing Parisian option under a stochastic volatility model
• Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility
• Asymptotics for Rough Stochastic Volatility Models
• Investment timing under hybrid stochastic and local volatility
• Valuing of timer path-dependent options
• Optimal investment with transaction costs and stochastic volatility. II: Finite horizon
• Asymptotics for a bidimensional risk model with two geometric Lévy price processes
• Geometric ergodicity of asymmetric volatility models with stochastic parameters

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