Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility (Q433133): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
Normal rank | |||
| Property / zbMATH DE Number | |||
| 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 | |||
Revision as of 00:21, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility |
scientific article |
Statements
Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility (English)
0 references
13 July 2012
0 references
option pricing
0 references
mean reversion
0 references
multiscale asymptotic
0 references
stochastic volatility
0 references
