Pricing turbo warrants under stochastic elasticity of variance

DOI10.1016/J.CHAOS.2015.11.043MaRDI QIDQ508292zbMATH OpenOpenAlexFDO

Authors Ji-Hun Yoon, Chang-Rae Park

Publication date 10 February 2017

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2015.11.043

zbMATH Keywords

multi-scale analysisOrnstein-Uhlenbeck processstochastic elasticity of varianceturbo warrant option

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form analytic correction to the Black-Scholes-Merton price for perpetual American options
• A note on option pricing for the constant elasticity of variance model
• Asymptotic option pricing under the CEV diffusion
• scientific article; zbMATH DE number 1181255 (Why is no real title available?)
• Mathematical models of financial derivatives
• Multiscale analysis of a perpetual American option with the stochastic elasticity of variance
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Option pricing under hybrid stochastic and local volatility
• Portfolio optimization under the stochastic elasticity of variance
• Pricing perpetual American options under multiscale stochastic elasticity of variance
• Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
• Stochastic differential equations. An introduction with applications.
• Stochastic elasticity of variance with stochastic interest rates
• The pricing of options and corporate liabilities
• Turbo warrants under stochastic volatility

Cited in

(9)

• Pricing turbo warrants under mixed-exponential jump diffusion model
• Turbo warrants under hybrid stochastic and local volatility
• Efficient option pricing in crisis based on dynamic elasticity of variance model
• Turbo warrants under stochastic volatility
• Homotopy analysis method for boundary-value problem of turbo warrant pricing under stochastic volatility
• Complexity in quantitative finance and economics
• Forecasting the elasticity of variance with LSTM recurrent neural networks
• Pricing levered warrants under the CEV diffusion model
• A Mellin transform approach to pricing barrier options under stochastic elasticity of variance

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