PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS (Q5158756)
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scientific article; zbMATH DE number 7414002
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS |
scientific article; zbMATH DE number 7414002 |
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PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS (English)
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26 October 2021
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timer option
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stochastic volatility
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implied volatility
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multiscale asymptotics
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singular perturbation
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