scientific article; zbMATH DE number 1223766

zbMath0935.91019MaRDI QIDQ4219085

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

Publication date: 15 November 1998

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

stochastic volatilityasset pricevolatility riskasymptotic analysis of derivative pricesasymptotic formula for options pricing

Mathematics Subject Classification ID

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

Related Items (8)

Investment timing under hybrid stochastic and local volatility ⋮ Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility ⋮ Valuing of timer path-dependent options ⋮ Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon ⋮ Unnamed Item ⋮ Turbo warrants under hybrid stochastic and local volatility ⋮ Pricing Parisian option under a stochastic volatility model ⋮ Pricing vulnerable options under a stochastic volatility model

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