Convergence by viscosity methods in multiscale financial models with stochastic volatility (Q3563693)
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scientific article; zbMATH DE number 5714648
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| English | Convergence by viscosity methods in multiscale financial models with stochastic volatility |
scientific article; zbMATH DE number 5714648 |
Statements
Convergence by Viscosity Methods in Multiscale Financial Models with Stochastic Volatility (English)
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1 June 2010
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asymptotic approximation
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portfolio optimization
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fast time scale
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0.8690244555473328
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0.834191620349884
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0.8338146805763245
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0.7946863174438477
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0.7926414608955383
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