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

DOI10.1016/J.AML.2011.04.011zbMATH Open1216.91035OpenAlexW2087951871MaRDI QIDQ550461FDOQ550461

Wen-Ting Chen, Song-Ping Zhu

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

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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)

Cites Work

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• Singular Perturbations in Option Pricing
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• Multiscale Stochastic Volatility Asymptotics
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• Strategic investment decisions under fast mean-reversion stochastic volatility
• SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
• Randomization and the American Put
• THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM
• 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

Cited In (6)

• Pricing of options in the singular perturbed stochastic volatility model
• Optimal switching decisions under stochastic volatility with fast mean reversion
• Valuing of timer path-dependent options
• To expand and to abandon: real options under asset variance risk premium
• Title not available (Why is that?)
• An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model.

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