A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
From MaRDI portal
Publication:4628041
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
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)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
- Operators associated with the Hermite semigroup - a survey
- Alternative models for stock price dynamics.
- PDE methods for pricing barrier options
- Modeling and pricing long memory in stock market volatility
- Option pricing when correlations are stochastic: an analytical framework
- Space-time adaptive finite difference method for European multi-asset options
- Stochastic processes, optimization, and control theory: applications in financial engineering, queueing networks, and manufacturing systems. A volume in honor of Suresh Sethi on the occasion of his 60th birthday.
- The Heston Model and Its Extensions in Matlab and C#
- Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING
- A multivariate jump-driven financial asset model
- THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
- Singular Perturbations in Option Pricing
- Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models
- Multiple time scales in volatility and leverage correlations: a stochastic volatility model
- Multiscale Stochastic Volatility Asymptotics
- Option Pricing in Multivariate Stochastic Volatility Models of OU Type
- A highly parallel Black–Scholes solver based on adaptive sparse grids
- PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Derivative Pricing With Wishart Multivariate Stochastic Volatility
- Arbitrage Theory in Continuous Time
- Stochastic differential equations. An introduction with applications.
This page was built for publication: A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility