Pricing perpetual American options under a stochastic-volatility model with fast mean reversion

DOI10.1016/J.AML.2011.04.011MaRDI QIDQ550461zbMATH OpenOpenAlexFDO

Authors Song-Ping Zhu, Wen-Ting Chen

Publication date 11 July 2011

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2011.04.011

zbMATH Keywords

perturbation methodperpetual American put optionsfast mean-reverting stochastic volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

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Cites work

• scientific article; zbMATH DE number 3125480 (Why is no real title available?)
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
• A spectral-collocation method for pricing perpetual American puts with stochastic volatility
• Multiscale Stochastic Volatility Asymptotics
• Randomization and the American put
• SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
• Singular Perturbations in Option Pricing
• Strategic investment decisions under fast mean-reversion stochastic volatility
• THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM

Cited in

(15)

• Strategic investment decisions under fast mean-reversion stochastic volatility
• The asymptotic formula of the perpetual American barrier option under stochastic volatility
• A spectral-collocation method for pricing perpetual American puts with stochastic volatility
• Pricing perpetual American puts under multi-scale stochastic volatility
• Pricing of options in the singular perturbed stochastic volatility model
• A closed-form analytic correction to the Black-Scholes-Merton price for perpetual American options
• Multiscale analysis of a perpetual American option with the stochastic elasticity of variance
• Pricing American lookback options under a stochastic volatility model
• On the pricing formula for the perpetual American volatility option under the mean-reverting processes
• Optimal switching decisions under stochastic volatility with fast mean reversion
• Valuing of timer path-dependent options
• Pricing of perpetual American put with fast diffusion process
• To expand and to abandon: real options under asset variance risk premium
• Pricing perpetual American options under multiscale stochastic elasticity of variance
• An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model.

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