Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility

Keyphrases

• Mean-reverting 100%
• Asymptotic Expansion 100%
• Pricing Options 100%
• Multifractal Volatility 100%
• Copyright 33%
• Stochastic Processes 33%
• Underlying Asset 33%
• Stochastic Volatility 33%
• Numerical Examples 33%
• Semi-analytical 33%
• European Options 33%
• Analytical Pricing Formula 33%
• Numerical Scheme 33%
• Asymptotic Techniques 33%
• Lognormal 33%
• Multiscale Asymptotics 33%

Mathematics

• Stochastic Volatility 100%
• Option Pricing 100%
• Asymptotic Expansion 100%
• Asymptotics 50%
• Stochastic Process 50%
• Underlying Asset 50%
• Numerical Example 50%
• Numerical Scheme 50%

Economics, Econometrics and Finance

• Pricing 100%
• Volatility 100%
• Option Trading 50%