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Communications in Statistics - Theory and Methods Volume 47, 2018 - Issue 6
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Original Articles

Analytical and numerical studies on the second-order asymptotic expansion method for European option pricing under two-factor stochastic volatilities

Betuel CanhangaFaculty of Sciences, Department of Mathematics and Computer Sciences, Eduardo Mondlane University, Maputo, Mozambique;Division of Applied Mathematics, School of Education, Culture and Communication, Mälardalen University, Västerås, SwedenCorrespondence[email protected]
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,
Anatoliy MalyarenkoDivision of Applied Mathematics, School of Education, Culture and Communication, Mälardalen University, Västerås, SwedenView further author information
,
Ying NiDivision of Applied Mathematics, School of Education, Culture and Communication, Mälardalen University, Västerås, SwedenView further author information
,
Milica RančićDivision of Applied Mathematics, School of Education, Culture and Communication, Mälardalen University, Västerås, SwedenView further author information
&
Sergei SilvestrovDivision of Applied Mathematics, School of Education, Culture and Communication, Mälardalen University, Västerås, SwedenView further author information
Pages 1328-1349 | Received 17 Mar 2017, Accepted 10 Apr 2017, Published online: 11 Oct 2017

References

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  • Canhanga, B., A. Malyarenko, Y. Ni, and S. Silvestrov. 2015a. Perturbation methods for pricing European options in a model with two stochastic volatilities. In New trends in stochastic modelling and data analysis, eds. R. Manca, S. McClean, and C. Skiadas, 199–210. ISAST.
  • Canhanga, B., A. Malyarenko, Y. Ni, and S. Silvestrov. 2015b. Second order asymptotic expansion for pricing European options in a model with two stochastic volatilities. In 16th ASMDA conference proceedings, 30 June–04 July 2015, ed. C. H. Skiadas, 37–52. Greece: Piraeus.
  • Canhanga, B., A. Malyarenko, J.-P. Murara, Y. Ni, and S. Silvestrov. 2015c. Numerical studies on asymptotic of European option under multiscale stochastic volatility. In 16th ASMDA conference proceedings, 30 June – 04 July 2015, ed. C. H. Skiadas, 53–66 Greece: Piraeus.
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