A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
Author:
Affiliation:
1. Department of Mathematics, Yonsei University , Seoul, Republic of Korea.
2. Division of International Studies, Hanyang University , Seoul, Republic of Korea.
Funder
National Research Foundation of Korea
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2018.1468081
Reference47 articles.
1. Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk
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4. A P.D.E. approach to Asian options: analytical and numerical evidence
5. Multivariate asset models using Lévy processes and applications
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1. An analytical approach to the pricing of an exchange option with default risk under a stochastic volatility model;Advances in Continuous and Discrete Models;2023-08-30
2. Variable annuity with a surrender option under multiscale stochastic volatility;Japan Journal of Industrial and Applied Mathematics;2022-05-02
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