Text

Pricing Timer Options : Second-Order Multiscale Stochastic Volatility Asymptotics

We study the pricing of timer options in a class of stochastic volatility models, where the volatility is driven by two diffusions—one fast mean-reverting and the other slowly varying. Employing singular and regular perturbation techniques, full second-order asymptotics of the option price are established. In addition, we investigate an implied volatility in terms of effective maturity for the timer options, and derive its second-order expansion based on our pricing asymptotics. A numerical experiment shows that the price approximation formula has a high level of accuracy, and the implied volatility in terms of its effective maturity is illustrated.

Ketersediaan

Informasi Detail

Judul Seri

THE ANZIAM JOURNAL; Vol.63 Issue 2 April 2021

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 249-267

Bahasa

English

ISBN/ISSN

-

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

STOCHASTIC VOLATILITY
IMPLIED VOLATILITY
SINGULAR PERTURBATION
TIMER OPTION
MULTISCALE ASYMPTOTICS

Info Detail Spesifik

-

Pernyataan Tanggungjawab

Xuhui Wang, Sheng-Jhih Wu, Xingye Yue

Versi lain/terkait

Lampiran Berkas

Komentar