{"title":"奇异奇异摄动","authors":"Florian Monciaud, A. Reghai","doi":"10.2139/ssrn.3860721","DOIUrl":null,"url":null,"abstract":"The Local Stochastic Volatility model is the main model used to take into account the correct pricing and hedging with the volatility dynamic.<br><br>We introduce a new methodology that combines Singular perturbation analysis and exotic greek computation. We obtain asymptotic formulae for the LSV impact which work extremely well. Tests are performed on the mostly traded Autocalls in the equity derivatives business.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"289 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Singular Exotic Perturbation\",\"authors\":\"Florian Monciaud, A. Reghai\",\"doi\":\"10.2139/ssrn.3860721\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The Local Stochastic Volatility model is the main model used to take into account the correct pricing and hedging with the volatility dynamic.<br><br>We introduce a new methodology that combines Singular perturbation analysis and exotic greek computation. We obtain asymptotic formulae for the LSV impact which work extremely well. Tests are performed on the mostly traded Autocalls in the equity derivatives business.\",\"PeriodicalId\":363330,\"journal\":{\"name\":\"Computation Theory eJournal\",\"volume\":\"289 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-05-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Computation Theory eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3860721\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Computation Theory eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3860721","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The Local Stochastic Volatility model is the main model used to take into account the correct pricing and hedging with the volatility dynamic.
We introduce a new methodology that combines Singular perturbation analysis and exotic greek computation. We obtain asymptotic formulae for the LSV impact which work extremely well. Tests are performed on the mostly traded Autocalls in the equity derivatives business.
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