A Remark on a Singular Perturbation Method for Option Pricing Under a Stochastic Volatility Model
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DOI: 10.1007/s10690-009-9099-z
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- Kyo Yamamoto & Seisho Sato & Akihiko Takahashi, 2009. "Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment," CIRJE F-Series CIRJE-F-625, CIRJE, Faculty of Economics, University of Tokyo.
- Jean-Pierre Fouque & George Papanicolaou & K. Sircar, 1999. "Financial Modeling in a Fast Mean-Reverting Stochastic Volatility Environment," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 6(1), pages 37-48, January.
- Jean-Pierre Fouque & Chuan-Hsiang Han, 2003. "Pricing Asian options with stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 3(5), pages 353-362.
- Jean-Pierre Fouque & George Papanicolaou & K. Ronnie Sircar, 2001. "From The Implied Volatility Skew To A Robust Correction To Black-Scholes American Option Prices," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(04), pages 651-675.
- Peter Cotton & Jean‐Pierre Fouque & George Papanicolaou & Ronnie Sircar, 2004. "Stochastic Volatility Corrections for Interest Rate Derivatives," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 173-200, April.
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Cited by:
- Flavia Barsotti, 2012. "Optimal Capital Structure with Endogenous Default and Volatility Risk," Working Papers - Mathematical Economics 2012-02, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Akihiko Takahashi & Toshihiro Yamada, 2016. "An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach (Forthcoming in Asia-Pacific Financial Markets)," CARF F-Series CARF-F-394, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Akihiko Takahashi & Toshihiro Yamada, 2016. "An Asymptotic Expansion for Forward–Backward SDEs: A Malliavin Calculus Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(4), pages 337-373, December.
- Akihiko Takahashi & Toshihiro Yamada, 2016. "An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach," CIRJE F-Series CIRJE-F-1009, CIRJE, Faculty of Economics, University of Tokyo.
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Keywords
Approximation accuracy; Option pricing; Partial differential equation; Singular perturbation; Stochastic volatility;All these keywords.
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