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Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility

✍ Scribed by Mei Choi Chiu; Yu Wai Lo; Hoi Ying Wong

Book ID
113834547
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
254 KB
Volume
39
Category
Article
ISSN
0167-6377

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✍ E. Pillay; J.G. O’Hara πŸ“‚ Article πŸ“… 2011 πŸ› Elsevier Science 🌐 English βš– 228 KB

Numerous studies present strong empirical evidence that certain financial assets may exhibit mean reversion, stochastic volatility or jumps. This paper explores the valuation of European options when the underlying asset follows a mean reverting log-normal process with stochastic volatility and jump