Pricing perpetual American options under a stochastic-volatility model with fast mean reversion (Q550461): Difference between revisions

@@ Property / author @@
-Wen-Ting Chen
@@ Property / author: Wen-Ting Chen / rank @@
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@@ Property / author @@
+Wen-Ting Chen
@@ Property / author: Wen-Ting Chen / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.aml.2011.04.011
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@@ Property / OpenAlex ID @@
+W2087951871
@@ Property / OpenAlex ID: W2087951871 / rank @@
+Normal rank
@@ Property / cites work @@
+Singular Perturbations in Option Pricing
@@ Property / cites work: Singular Perturbations in Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+A spectral-collocation method for pricing perpetual American puts with stochastic volatility
+Normal rank
@@ Property / cites work @@
+SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
+Normal rank
@@ Property / cites work @@
+Randomization and the American Put
@@ Property / cites work: Randomization and the American Put / rank @@
+Normal rank
@@ Property / cites work @@
+Q4794126
@@ Property / cites work: Q4794126 / rank @@
+Normal rank
@@ Property / cites work @@
+Strategic investment decisions under fast mean-reversion stochastic volatility
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+Q4509488
@@ Property / cites work: Q4509488 / rank @@
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@@ Property / cites work @@
+Multiscale Stochastic Volatility Asymptotics
@@ Property / cites work: Multiscale Stochastic Volatility Asymptotics / rank @@
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+THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM
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+Q3240966
@@ Property / cites work: Q3240966 / rank @@
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+A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
+Normal rank