Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration
نویسندگان
چکیده
منابع مشابه
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization of randomly varying volatility. The recent book Fouque, Papanicolaou, Sircar and Sølna (2011, CUP) analyzes models in which the volatility of the underlying is driven by two diffusions – one fast mean-reverting and one slow-varying, an...
متن کاملSecond Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration
Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization of randomly varying volatility. The recent book Fouque, Papanicolaou, Sircar and Sølna (2011, CUP) analyzes models in which the volatility of the underlying is driven by two diffusions – one fast mean-reverting and one slow-varying, an...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2137900