CEV Model with Stochastic Volatility

CEV Model with Stochastic Volatility

This paper develops a systematic method for calculating approximate prices for a wide range of securities implying the tools of spectral analysis, singular and regular perturbation theory. Price options depend on stochastic volatility, which may be multiscale, in the sense that it may be driven by o...

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Bibliographic Details
Main Authors: IVAN BURTNYAK, Anna Malytska
Format: Article
Language:English
Published: Vasyl Stefanyk Precarpathian National University 2019-12-01
Series:Journal of Vasyl Stefanyk Precarpathian National University
Subjects:
derivative pricing, stochastic volatility, local volatility, spectral theory, singular perturbation theory, regular perturbation theory.
Online Access:http://journals.pnu.edu.ua/index.php/jpnu/article/view/4152

Internet

http://journals.pnu.edu.ua/index.php/jpnu/article/view/4152

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