| Article ID: | iaor20117397 |
| Volume: | 39 |
| Issue: | 4 |
| Start Page Number: | 289 |
| End Page Number: | 295 |
| Publication Date: | Jul 2011 |
| Journal: | Operations Research Letters |
| Authors: | Chiu Mei Choi, Lo Yu Wai, Wong Hoi Ying |
| Keywords: | option pricing |
The valuation of options for an asset which follows a mean‐reverting log‐normal process with a multiscale stochastic volatility. Asymptotic expansion for options and the corresponding implied volatility. A regression‐based calibration for effective stochastic volatility parameters under the proposed model. Numerical examples of the use of the model and showing the quality of the numerical scheme.