Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
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Publication:433133
DOI10.1016/J.ORL.2011.06.002zbMATH Open1242.91185OpenAlexW2087968422MaRDI QIDQ433133FDOQ433133
Mei Choi Chiu, Hoi Ying Wong, Yu Wai Lo
Publication date: 13 July 2012
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2011.06.002
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Cites Work
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- Turbo warrants under stochastic volatility
- The volatility of temperature and pricing of weather derivatives
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- Currency option pricing with mean reversion and uncovered interest parity: a revision of the Garman-Kohlhagen model
- Maturity cycles in implied volatility
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Cited In (17)
- Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
- Pricing credit default swaps under a multi-scale stochastic volatility model
- Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model
- AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER
- Variational inequality arising from variable annuity with mean reversion environment
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach
- CEV asymptotics of American options
- A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS
- A polynomial scheme of asymptotic expansion for backward SDEs and option pricing
- Asymptotic expansions of option price under regime-switching diffusions with a fast-varying switching process
- Lookback options and dynamic fund protection under multiscale stochastic volatility
- Uniform asymptotic expansions for pricing European options
- Asymptotic and exact pricing of options on variance
- PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS
- Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
- MULTISCALE STOCHASTIC VOLATILITY MODEL FOR DERIVATIVES ON FUTURES
- ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK
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