Convergence in Multiscale Financial Models with Non-Gaussian Stochastic Volatility

Martino Bardi, Annalisa Cesaroni and Andrea Scotti

Papers from arXiv.org

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.

Date: 2014-05
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1405.6514 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1405.6514

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().