Multiscale Stochastic Volatility Asymptotics (Q4656049)

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scientific article; zbMATH DE number 2142812
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English
Multiscale Stochastic Volatility Asymptotics
scientific article; zbMATH DE number 2142812

    Statements

    title
    Multiscale Stochastic Volatility Asymptotics (English)
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    author
    Jean-Pierre Fouque
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    Ronnie Sircar
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    Knut Sølna
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    George S. Papanicolaou
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    publication date
    8 March 2005
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    Identifiers

    DOI
    10.1137/030600291
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    Mathematics Subject Classification ID
    91-02
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    91G20
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    34E10
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    34E13
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    35K20
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    60H15
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    60H30
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    60J60
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    zbMATH DE Number
    2142812
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