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

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+Singular Perturbations in Option Pricing
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+Q4905685
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+A spectral-collocation method for pricing perpetual American puts with stochastic volatility
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+SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
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+Randomization and the American Put
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+Q4794126
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+Strategic investment decisions under fast mean-reversion stochastic volatility
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+Q4509488
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+Multiscale Stochastic Volatility Asymptotics
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+THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM
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+Q3240966
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+A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
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