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Convergence in Multiscale Financial Models with Non-Gaussian Stochastic Volatility
- Publication Year :
- 2014
-
Abstract
- We consider stochastic control systems affected by a fast mean reverting volatility $Y(t)$ driven by a pure jump L\'evy process. Motivated by a large literature on financial models, we assume that $Y(t)$ evolves at a faster time scale $\frac{t}{\varepsilon}$ than the assets, and we study the asymptotics as $\varepsilon\to 0$. This is a singular perturbation problem that we study mostly by PDE methods within the theory of viscosity solutions.
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1405.6514
- Document Type :
- Working Paper