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

@@ Property / DOI @@
-.1016/j.chaos.2017.02.006
@@ Property / DOI: 10.1016/j.chaos.2017.02.006 / rank @@
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@@ Property / cites work @@
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+Pricing Asian options with stochastic volatility
@@ Property / cites work: Pricing Asian options with stochastic volatility / rank @@
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@@ Property / DOI @@
+.1016/J.CHAOS.2017.02.006
@@ Property / DOI: 10.1016/J.CHAOS.2017.02.006 / rank @@
+Normal rank