Financial modeling in a fast mean-reverting stochastic volatility environment

DOI10.1023/A:1010010626460zbMath1157.91358MaRDI QIDQ1012317

K. Ronnie Sircar, Jean-Pierre Fouque, George S. Papanicolaou

Publication date: 15 April 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

zbMATH Keywords

stochastic equations; stochastic volatility; option pricing; incomplete markets

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)

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