Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility (Q433133): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6055714
@@ Property / zbMATH DE Number: 6055714 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+option pricing
@@ Property / zbMATH Keywords: option pricing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+mean reversion
@@ Property / zbMATH Keywords: mean reversion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+multiscale asymptotic
@@ Property / zbMATH Keywords: multiscale asymptotic / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic volatility
@@ Property / zbMATH Keywords: stochastic volatility / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.orl.2011.06.002
+Normal rank
@@ Property / OpenAlex ID @@
+W2087968422
@@ Property / OpenAlex ID: W2087968422 / rank @@
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@@ Property / cites work @@
+On modelling and pricing weather derivatives
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+Option pricing with mean reversion and stochastic volatility
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@@ links / mardi / name / links / mardi / name @@
+Publication:433133