Multiscale stochastic volatility asymptotics (2003)

by Jean-Pierre Fouque , George Papanicolaou , Ronnie Sircar , Knut Solna
Venue:SIAM J. MULTISCALE MODELING AND SIMULATION
Citations:28 - 11 self

Documents Related by Co-Citation

20 Singular Perturbations In Option Pricing – J.-P. Fouque, G. Papanicolaou, R. Sircar, K. Solna - 2002
71 Derivatives in Financial Markets with Stochastic Volatility – J-P Fouque, G Papanicolaou, K R Sircar - 2000
12 Stochastic Volatility Corrections for Interest Rate Derivatives – Peter Cotton, Jean-Pierre Fouque, Ronnie Sircar, George Papanicolaou - 2002
27 Stochastic volatility as a simple generator of apparent financial power laws and long memory’, Quantitative Finance – B LeBaron
629 USER’S GUIDE TO VISCOSITY SOLUTIONS OF SECOND ORDER PARTIAL DIFFERENTIAL EQUATIONS – Michael G. Crandall, Hitoshi Ishii, Pierre-louis Lions - 1992
114 Range-based estimation of stochastic volatility models – Sassan Alizadeh, Michael W. Brandt, Francis X. Diebold - 2002
704 A closed-form solution for options with stochastic volatility with applications to bond and currency options – Steven L. Heston - 1993
29 Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation – Peter Carr, Liuren Wu - 2009
27 Pricing equity derivatives subject to bankruptcy – Vadim Linetsky - 2006
22 A jump to default extended CEV model: an application of Bessel processes,” Finance and Stochastics – P Carr, V Linetsky - 2006
66 Financial Modelling with – R Cont, P Tankov - 2004
15 Multiscale intensity models and name grouping for valuation of multi-name credit derivatives – Evan Papageorgiou, Ronnie Sircar
13 Modeling correlated defaults: First passage model under stochastic volatility – Jean-pierre Fouque, Brian C. Wignall, Xianwen Zhou - 2006
14 Stochastic volatility effects on defaultable bonds – J-P Fouque, R Sircar, K Sølna - 2006
3 Stochastic Volatility Effects on Defaultable – J-P Fouque, R Sircar, K Solna
5 Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models, Quantitative Finance – J-P Fouque, C-H Han
290 Valuing American options by simulation: A simple least-squares approach – Francis A. Longstaff, Eduardo S. Schwartz - 2001
3 Gaitsgory: Singular perturbations in ergodic control of diffusions – V S Borkar, V
3 Musiela: Ergodicity of diffusion processes – P-L Lions, M - 2002