Matching asymptotics in path-dependent option pricing (Q968852): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.jmaa.2010.01.042 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W1984061534 / rank | |||
Normal rank |
Revision as of 20:22, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Matching asymptotics in path-dependent option pricing |
scientific article |
Statements
Matching asymptotics in path-dependent option pricing (English)
0 references
10 May 2010
0 references
path-dependent option
0 references
stochastic volatility
0 references
singularity
0 references
matched asymptotic expansion
0 references