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• W145799617 abstract "Using tools from spectral analysis, singular and regular perturbation theory, we develop a systematic method for analytically computing the approximate price of a derivative-asset. The payoff of the derivative-asset may be path-dependent. Additionally, the process underlying the derivative may exhibit killing (i.e. jump to default) as well as combined local/nonlocal stochastic volatility. The nonlocal component of volatility is multiscale, in the sense that it is driven by one fast-varying and one slow-varying factor. The flexibility of our modeling framework is contrasted by the simplicity of our method. We reduce the derivative pricing problem to that of solving a single eigenvalue equation. Once the eigenvalue equation is solved, the approximate price of a derivative can be calculated formulaically. To illustrate our method, we calculate the approximate price of three derivative-assets: a vanilla option on a defaultable stock, a path-dependent option on a non-defaultable stock, and a bond in a short-rate model." @default.
• W145799617 created "2016-06-24" @default.
• W145799617 creator A5029466911 @default.
• W145799617 date "2011-09-04" @default.
• W145799617 modified "2023-09-27" @default.
• W145799617 title "Pricing Derivatives on Multiscale Diffusions: Simplicity through Spectral Theory" @default.
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• W145799617 hasPublicationYear "2011" @default.
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