scientific article; zbMATH DE number 1223766

zbMATH Open0935.91019MaRDI QIDQ4219085FDOQ4219085

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

Publication date: 15 November 1998

Title of this publication is not available (Why is that?)

Recommendations

• ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS
• Multiscale Stochastic Volatility Asymptotics
• Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
• Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models

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)

Cited In (12)

• Turbo warrants under hybrid stochastic and local volatility
• Pricing vulnerable options under a stochastic volatility model
• Stochastic volatility models at \(\rho = \pm 1\) as second class constrained Hamiltonian systems
• Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon
• 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
• Asymptotics for a bidimensional risk model with two geometric Lévy price processes
• Title not available (Why is that?)
• Geometric ergodicity of asymmetric volatility models with stochastic parameters

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4219085)