eprintid: 595
rev_number: 13
eprint_status: archive
userid: 10
dir: disk0/00/00/05/95
datestamp: 2012-10-29 16:46:17
lastmod: 2015-05-29 20:13:06
status_changed: 2012-10-29 16:46:17
type: report
metadata_visibility: show
item_issues_count: 0
creators_name: Fatima, T
creators_name: Grzelak, L
creators_name: Hendriks, H
title: Approximate solution to a hybrid model with stochastic volatility: a singular-perturbation strategy
ispublished: pub
subjects: discrete
subjects: other
subjects: finance
studygroups: esgi67
full_text_status: public
abstract: 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
citation:   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]     
document_url: http://miis.maths.ox.ac.uk/miis/595/1/Wag4.pdf