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

Author:

Chiu Mei Choi,Lo Yu Wai,Wong Hoi Ying

Publisher

Elsevier BV

Subject

Applied Mathematics,Industrial and Manufacturing Engineering,Management Science and Operations Research,Software

Reference29 articles.

1. On modelling and pricing weather derivatives;Alaton;Applied Mathematical Finance,2002

2. Range-based estimation of stochastic volatility models;Alizadeh;Journal of Finance,2002

3. Intraday periodicity and volatility persistence in financial markets;Andersen;Journal of Empirical Finance,1997

4. Asymptotic analysis of option pricing in a Markov modulated market;Basua;Operations Research Letters,2009

5. The volatility of temperature and pricing of weather derivatives;Benth;Quantitative Finance,2007

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