Asymptotic expansions of option price under regime-switching diffusions with a fast-varying switching process (Q5852563)
From MaRDI portal
scientific article; zbMATH DE number 5663524
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic expansions of option price under regime-switching diffusions with a fast-varying switching process |
scientific article; zbMATH DE number 5663524 |
Statements
Asymptotic expansions of option price under regime-switching diffusions with a fast-varying switching process (English)
0 references
27 January 2010
0 references
asymptotic expansion
0 references
fast reversion
0 references
two-time scale
0 references
