A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility

DOI10.1080/14697688.2018.1468081zbMath1407.91250OpenAlexW2807192231WikidataQ129713487 ScholiaQ129713487MaRDI QIDQ4628041

Hye Jin Park, Jeonggyu Huh, Jaegi Jeon, Jeong-Hoon Kim

Publication date: 6 March 2019

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

Full work available at URL: https://doi.org/10.1080/14697688.2018.1468081

zbMATH Keywords

asymptoticsstochastic volatilitydimension reductionmulti-scaleilliquid marketmulti-asset

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

Variable annuity with a surrender option under multiscale stochastic volatility

Uses Software

• Matlab

Cites Work

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