Static Hedges of Barrier Options Under Fast Mean-Reverting Stochastic Volatility
Sign Up to like & getrecommendations! Published in 2019 at "Computational Economics"
DOI: 10.1007/s10614-019-09883-1
Abstract: In this paper, we suggest a numerically stable method for static hedging of barrier options under fast mean-reverting stochastic volatility with transaction costs. We elucidate how perturbation theory converts static hedging on time–volatility grid into… read more here.
Keywords: reverting stochastic; mean reverting; volatility; options fast ... See more keywords
Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Industrial and Management Optimization"
DOI: 10.3934/jimo.2021057
Abstract: In this paper, we propose a model to price vulnerable European options where the dynamics of the underlying asset value and the counter-party's asset value follow two jump-diffusion processes with fast mean-reverting stochastic volatility. First,… read more here.
Keywords: pricing; asset value; volatility; fast mean ... See more keywords