| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1142490 | Operations Research Letters | 2011 | 7 Pages |
Abstract
⺠The valuation of options for an asset which follows a mean-reverting log-normal process with a multiscale stochastic volatility. ⺠Asymptotic expansion for options and the corresponding implied volatility. ⺠A regression-based calibration for effective stochastic volatility parameters under the proposed model. ⺠Numerical examples of the use of the model and showing the quality of the numerical scheme.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Mei Choi Chiu, Yu Wai Lo, Hoi Ying Wong,