Static Hedges of Barrier Options Under Fast Mean-Reverting Stochastic Volatility
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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