FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT (Q4565075)
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scientific article; zbMATH DE number 6882231
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT |
scientific article; zbMATH DE number 6882231 |
Statements
FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT (English)
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7 June 2018
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functional Itô calculus
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multiscale stochastic volatility
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path dependence
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