A new analytical approximation for European puts with stochastic volatility
From MaRDI portal
Publication:972953
DOI10.1016/J.AML.2010.02.009zbMATH Open1186.91224OpenAlexW2070511271MaRDI QIDQ972953FDOQ972953
Authors: Song-Ping Zhu, Wen-Ting Chen 
Publication date: 21 May 2010
Published in: Applied Mathematics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.aml.2010.02.009
Recommendations
- Option pricing for stochastic volatility models: vol-of-vol expansion
- Analytical formulas for a local volatility model with stochastic rates
- Pricing of options in the singular perturbed stochastic volatility model
- A remark on a singular perturbation method for option pricing under a stochastic volatility model
- General approximation schemes for option prices in stochastic volatility models
Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)
Cites Work
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Title not available (Why is that?)
- Title not available (Why is that?)
- An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
- Matched asymptotic expansions in financial engineering
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
- American options on assets with dividends near expiry
- Title not available (Why is that?)
Cited In (7)
- SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
- Title not available (Why is that?)
- A semi-analytic valuation of American options under a two-state regime-switching economy
- An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
- A robust spectral method for solving Heston's model
- Asymptotic analysis for stochastic volatility: Edgeworth expansion
- AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES
Uses Software
This page was built for publication: A new analytical approximation for European puts with stochastic volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q972953)
