An alternative model of stochastic volatility for option pricing: a regime-switching diffusion model under fast mean reversion (Q3635263)
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scientific article; zbMATH DE number 5575326
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| English | An alternative model of stochastic volatility for option pricing: a regime-switching diffusion model under fast mean reversion |
scientific article; zbMATH DE number 5575326 |
Statements
6 July 2009
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asymptotic expansion
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fast mean reversion
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two-time scale
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0.8685230016708374
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0.8355156779289246
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0.8338881134986877
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0.8296416401863098
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0.8253809213638306
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