Matching asymptotics in path-dependent option pricing (Q968852)

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Matching asymptotics in path-dependent option pricing
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    title
    Matching asymptotics in path-dependent option pricing (English)
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    author
    Sang-Hyeon Park
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    Sun-Yong Choi
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    Jeong-Hoon Kim
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    publication date
    10 May 2010
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    zbMATH DE Number
    5706226
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    zbMATH Keywords
    path-dependent option
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    stochastic volatility
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    singularity
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    matched asymptotic expansion
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