Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility (Q433133): 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.orl.2011.06.002 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2087968422 / rank | |||
Normal rank | |||
Revision as of 02:04, 20 March 2024
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
