Stochastic elasticity of variance with stochastic interest rates

DOI10.1016/J.JKSS.2015.03.002zbMATH Open1327.91062OpenAlexW2019198622MaRDI QIDQ892883FDOQ892883

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

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

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zbMATH Keywords

implied volatilityaveraging principlestochastic interest ratestochastic elasticity of variance

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• Stochastic differential equations. An introduction with applications.
• Option pricing for a stochastic volatility Lévy model with stochastic interest rates
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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• Partial differential equations. 4th ed
• Matched asymptotic expansions in financial engineering
• Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
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• A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
• Multiscale analysis of a perpetual American option with the stochastic elasticity of variance
• A closed-form analytic correction to the Black-Scholes-Merton price for perpetual American options
• Portfolio optimization under the stochastic elasticity of variance
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Cited In (4)

• Title not available (Why is that?)
• The economics of time as it is embedded in the prices of options§
• Stochastic Interest Rates
• Pricing turbo warrants under stochastic elasticity of variance

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