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]
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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.
| Item Type: | Study Group Report |
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| Problem Sectors: | Discrete None/Other Finance |
| Study Groups: | European Study Group with Industry > ESGI 67 (Wageningen, Netherlands, Jan 26-30, 2009) (SWI 2009) |
| ID Code: | 595 |
| Deposited By: | Mark Curtis |
| Deposited On: | 29 Oct 2012 16:46 |
| Last Modified: | 29 May 2015 20:13 |
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