Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility (Q433133): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / zbMATH DE Number: 6055714 / rank | |||
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option pricing | |||
| Property / zbMATH Keywords: option pricing / rank | |||
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mean reversion | |||
| Property / zbMATH Keywords: mean reversion / rank | |||
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multiscale asymptotic | |||
| Property / zbMATH Keywords: multiscale asymptotic / rank | |||
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stochastic volatility | |||
| Property / zbMATH Keywords: stochastic volatility / rank | |||
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Revision as of 23:21, 29 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 |
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Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility (English)
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13 July 2012
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option pricing
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mean reversion
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multiscale asymptotic
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stochastic volatility
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