PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH
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Publication:5416705
DOI10.1111/mafi.12007zbMath1291.91206arXiv1109.0738OpenAlexW3125093288MaRDI QIDQ5416705
Publication date: 14 May 2014
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1109.0738
defaultperturbation theorystochastic volatilityspectral theoryeigenfunctionderivative pricinglocal volatility
Inference from stochastic processes and spectral analysis (62M15) Perturbation theory of linear operators (47A55) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
Asymptotics for $$d$$ -Dimensional Lévy-Type Processes ⋮ FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT ⋮ Application of the spectral theory and perturbation theory to the study of Ornstein-Uhlenbeck processes ⋮ The averaging principle for non-autonomous slow-fast stochastic differential equations and an application to a local stochastic volatility model ⋮ The exact smile of certain local volatility models
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