The averaging principle for non-autonomous slow-fast stochastic differential equations and an application to a local stochastic volatility model
DOI10.1016/J.JDE.2021.09.002zbMath1490.60150arXiv2012.09082OpenAlexW3199275391MaRDI QIDQ2232189
Publication date: 4 October 2021
Published in: Journal of Differential Equations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2012.09082
averaging principlelocal stochastic volatilityKhasminskiinon autonomousslow fast stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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