Stochastic Volatility: Modeling and Asymptotic Approaches to Option Pricing and Portfolio Selection

Keyphrases

• Stochastic Volatility Modeling 100%
• Option Pricing 100%
• Asymptotic Approach 100%
• Option Portfolio 100%
• Portfolio Optimization 100%
• Modeling Approaches 100%
• Stochastic Volatility Asymptotics 100%
• Implied Volatility 66%
• Option Contract 66%
• Option-implied 66%
• Two Dimensional 33%
• Scalar 33%
• Asymptotic Methods 33%
• Pricing Optimization 33%
• Asymptotic Expansion 33%
• Markov 33%
• New Approximation 33%
• Stochastic Volatility 33%
• Price Volatility 33%
• Black-Scholes Model 33%
• Option Price 33%
• Asymptotic Approximation 33%
• Extreme Regimes 33%
• Polynomial Expansion 33%
• Model Coefficients 33%
• Merton Problem 33%
• Tractable Models 33%
• Local Volatility 33%
• Incomplete Markets Models 33%

Mathematics

• Asymptotics 100%
• Stochastic Volatility 100%
• Implied Volatility 100%
• Option Pricing 100%
• Modeling Approach 100%
• Asymptotic Approach 100%
• Polynomial 50%
• Asymptotic Analysis 50%
• Option Price 50%
• Asymptotic Expansion 50%
• Type Model 50%
• Stochastic Volatility Model 50%
• Simplest Case 50%
• Closed Form 50%
• Asymptotic Approximation 50%
• Black-Scholes Model 50%

Economics, Econometrics and Finance

• Volatility 100%
• Portfolio Selection 100%
• Pricing 40%
• Option Contract 40%
• Incomplete Market 20%
• Black-Scholes Model 20%