relation: http://miis.maths.ox.ac.uk/miis/595/
title: Approximate solution to a hybrid model with stochastic volatility: a singular-perturbation strategy
creator: Fatima, T
creator: Grzelak, L
creator: Hendriks, H
subject: Discrete
subject: None/Other
subject: Finance
description: We study a hybrid model of Schobel-Zhu-Hull-White-type from a singular-perturbation-analysis perspective. The merit of the paper is twofold: On one hand, we find boundary conditions for the deterministic non-linear degenerate parabolic partial differential equation for the evolution of the stock price. On the other hand, we combine two-scales regular- and singular-perturbation techniques to find an approximate solution to the pricing PDE. The aim is to produce an expression that can be evaluated numerically very fast.
date: 2009
type: Study Group Report
type: NonPeerReviewed
format: application/pdf
language: en
identifier: http://miis.maths.ox.ac.uk/miis/595/1/Wag4.pdf
identifier:   Fatima, T and Grzelak, L and Hendriks, H  (2009) Approximate solution to a hybrid model with stochastic volatility: a singular-perturbation strategy.  [Study Group Report]