Asymptotic analysis for foreign exchange derivatives with stochastic volatility (Q3067767)
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scientific article; zbMATH DE number 5835761
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| English | Asymptotic analysis for foreign exchange derivatives with stochastic volatility |
scientific article; zbMATH DE number 5835761 |
Statements
ASYMPTOTIC ANALYSIS FOR FOREIGN EXCHANGE DERIVATIVES WITH STOCHASTIC VOLATILITY (English)
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13 January 2011
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derivatives pricing
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FX options
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stochastic volatility
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multiscale analysis
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singular perturbation theory
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0.8626895546913147
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0.8321142196655273
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0.8277652263641357
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