Numerical studies on asymptotics of European option under multiscale stochastic volatility
B Canhanga, A Malyarenko, JP Murara, Y Ni… - … and Computing in …, 2017 - Springer
Multiscale stochastic volatilities models relax the constant volatility assumption from Black-
Scholes option pricing model. Such models can capture the smile and skew of volatilities …
Scholes option pricing model. Such models can capture the smile and skew of volatilities …
Advanced Monte Carlo Pricing of European Options in a Market Model with Two Stochastic Volatilities
B Canhanga, A Malyarenko, JP Murara, Y Ni… - Algebraic Structures and …, 2020 - Springer
We consider a market model with four correlated factors and two stochastic volatilities, one
of which is rapid-changing, while another one is slow-changing in time. An advanced Monte …
of which is rapid-changing, while another one is slow-changing in time. An advanced Monte …