PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH
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Publication:5416705
DOI10.1111/mafi.12007zbMath1291.91206arXiv1109.0738MaRDI 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
default; perturbation theory; stochastic volatility; spectral theory; eigenfunction; derivative pricing; local volatility
62M15: Inference from stochastic processes and spectral analysis
47A55: Perturbation theory of linear operators
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
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 exact smile of certain local volatility models, The averaging principle for non-autonomous slow-fast stochastic differential equations and an application to a local stochastic volatility model
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