A multiscale extension of the Margrabe formula under stochastic volatility (Q1693945): Difference between revisions

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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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+Role of noise in a market model with stochastic volatility
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+Exchange option pricing under stochastic volatility: a correlation expansion
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+A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
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+Pricing Asian options with stochastic volatility
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