Stochastic elasticity of variance with stochastic interest rates

DOI10.1016/J.JKSS.2015.03.002MaRDI QIDQ892883zbMATH OpenOpenAlexFDO

Authors Ji-Hun Yoon, Jung Woo Lee, Jeong-Hoon Kim

Publication date 12 November 2015

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2015.03.002

zbMATH Keywords

implied volatilityaveraging principlestochastic interest ratestochastic elasticity of variance

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Gaussian processes (60G15)

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• Matched asymptotic expansions in financial engineering
• Multiscale analysis of a perpetual American option with the stochastic elasticity of variance
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• Option pricing for a stochastic volatility Lévy model with stochastic interest rates
• Partial differential equations. 4th ed
• Portfolio optimization under the stochastic elasticity of variance
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
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• Stochastic differential equations. An introduction with applications.
• The pricing of options and corporate liabilities

Cited in

(6)

• Stochastic Interest Rates
• The economics of time as it is embedded in the prices of options§
• An integral representation of elasticity and sensitivity for stochastic volatility models
• Pricing turbo warrants under stochastic elasticity of variance
• Discount barrier option pricing with a stochastic interest rate: Mellin transform techniques and method of images
• Stochastic elasticity of vol-of-vol and pricing of variance swaps

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