Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility (Q433133)
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scientific article; zbMATH DE number 6055714
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| English | Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility |
scientific article; zbMATH DE number 6055714 |
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Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility (English)
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13 July 2012
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option pricing
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mean reversion
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multiscale asymptotic
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stochastic volatility
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0.8395575881004333
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0.8282200694084167
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0.8221802115440369
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0.8204910159111023
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