Pricing perpetual American options under a stochastic-volatility model with fast mean reversion (Q550461)
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scientific article; zbMATH DE number 5919236
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| English | Pricing perpetual American options under a stochastic-volatility model with fast mean reversion |
scientific article; zbMATH DE number 5919236 |
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Pricing perpetual American options under a stochastic-volatility model with fast mean reversion (English)
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11 July 2011
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perturbation method
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perpetual American put options
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fast mean-reverting stochastic volatility
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0.8806335926055908
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0.866025447845459
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0.826267421245575
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0.8241077065467834
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