mdh.sePublikasjoner
Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Numerical Studies on Asymptotics of European Option Under Multiscale Stochastic Volatility
DMI, Eduardo Mondlane University, Maputo, Mozambique.ORCID-id: 0000-0001-8361-4152
Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, Utbildningsvetenskap och Matematik. (MAM)ORCID-id: 0000-0002-0139-0747
Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, Utbildningsvetenskap och Matematik. (MAM)
Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, Utbildningsvetenskap och Matematik. (MAM)ORCID-id: 0000-0002-0835-7536
Vise andre og tillknytning
2017 (engelsk)Inngår i: Methodology and Computing in Applied Probability, ISSN 1387-5841, E-ISSN 1573-7713, Vol. 19, nr 4, s. 1075-1087Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

Multiscale stochastic volatilities models relax the constant volatility assumption from Black-Scholes option pricing model. Such models can capture the smile and skew of volatilities and therefore describe more accurately the movements of the trading prices. Christoffersen et al. Manag Sci 55(2):1914–1932 (2009) presented a model where the underlying price is governed by two volatility components, one changing fast and another changing slowly. Chiarella and Ziveyi Appl Math Comput 224:283–310 (2013) transformed Christoffersen’s model and computed an approximate formula for pricing American options. They used Duhamel’s principle to derive an integral form solution of the boundary value problem associated to the option price. Using method of characteristics, Fourier and Laplace transforms, they obtained with good accuracy the American option prices. In a previous research of the authors (Canhanga et al. 2014), a particular case of Chiarella and Ziveyi Appl Math Comput 224:283–310 (2013) model is used for pricing of European options. The novelty of this earlier work is to present an asymptotic expansion for the option price. The present paper provides experimental and numerical studies on investigating the accuracy of the approximation formulae given by this asymptotic expansion. We present also a procedure for calibrating the parameters produced by our first-order asymptotic approximation formulae. Our approximated option prices will be compared to the approximation obtained by Chiarella and Ziveyi Appl Math Comput 224:283–310 (2013).

sted, utgiver, år, opplag, sider
Springer, 2017. Vol. 19, nr 4, s. 1075-1087
Emneord [en]
Financial market, Mean reversion volatility, Asymptotic expansion,  Stochastic volatilities, Regular perturbation, Singular perturbation, European option
HSV kategori
Forskningsprogram
matematik/tillämpad matematik
Identifikatorer
URN: urn:nbn:se:mdh:diva-36594DOI: 10.1007/s11009-017-9553-8ISI: 000413792200005Scopus ID: 2-s2.0-85016098160OAI: oai:DiVA.org:mdh-36594DiVA, id: diva2:1145933
Konferanse
15th Applied Stochastic Models and Data Analysis International Conference (ASMDA), Univ Piraeus, Piraeus, GREECE, JUN 30-JUL 04, 2015
Forskningsfinansiär
Sida - Swedish International Development Cooperation AgencyTilgjengelig fra: 2017-10-01 Laget: 2017-10-01 Sist oppdatert: 2018-01-23bibliografisk kontrollert

Open Access i DiVA

Fulltekst mangler i DiVA

Andre lenker

Forlagets fulltekstScopushttps://doi.org/10.1007/s11009-017-9553-8

Personposter BETA

Malyarenko, AnatoliyNi, YingSilvestrov, Sergei

Søk i DiVA

Av forfatter/redaktør
Canhanga, BetuelMalyarenko, AnatoliyMurara, Jean-PaulNi, YingSilvestrov, Sergei
Av organisasjonen
I samme tidsskrift
Methodology and Computing in Applied Probability

Søk utenfor DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric

doi
urn-nbn
Totalt: 379 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf