Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
From MaRDI portal
Publication:5388679
DOI10.1137/100803614zbMath1255.91127arXiv1007.4361OpenAlexW3103381783MaRDI QIDQ5388679
Matthew Lorig, Jean-Pierre Fouque, Sebastian Jaimungal
Publication date: 19 April 2012
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1007.4361
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (9)
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration ⋮ Model Uncertainty in Commodity Markets ⋮ An analytical approximation method for pricing barrier options under the double Heston model ⋮ A General Valuation Framework for SABR and Stochastic Local Volatility Models ⋮ Application of the spectral theory and perturbation theory to the study of Ornstein-Uhlenbeck processes ⋮ A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL ⋮ PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH ⋮ Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing ⋮ SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS
This page was built for publication: Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
