PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH

DOI10.1111/mafi.12007zbMath1291.91206arXiv1109.0738OpenAlexW3125093288MaRDI QIDQ5416705

Matthew Lorig

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

zbMATH Keywords

defaultperturbation theorystochastic volatilityspectral theoryeigenfunctionderivative pricinglocal volatility

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A jump to default extended CEV model: an application of Bessel processes
• Lookback options and diffusion hitting times: a spectral expansion approach
• Wave propagation and time reversal in randomly layered media.
• On Models of Default Risk
• Applications of Eigenfunction Expansions in Continuous-Time Finance
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING
• Elementary Solutions for Certain Parabolic Partial Differential Equations
• Stochastic Volatility Effects on Defaultable Bonds
• INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL
• Bond markets with stochastic volatility
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• Singular Perturbations in Option Pricing
• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• Multiscale Stochastic Volatility Asymptotics
• Stochastic Volatility Corrections for Interest Rate Derivatives
• Laplace Transforms for Integrals of Markov Processes
• Spectral Expansions for Asian (Average Price) Options
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
• Diffusion Processes in One Dimension

This page was built for publication: PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH