Multiscale Stochastic Volatility Asymptotics

DOI10.1137/030600291zbMath1074.91015OpenAlexW2065242466MaRDI QIDQ4656049

Knut Sølna, Jean-Pierre Fouque, Ronnie Sircar, George S. Papanicolaou

Publication date: 8 March 2005

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/030600291

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Initial-boundary value problems for second-order parabolic equations (35K20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Perturbations, asymptotics of solutions to ordinary differential equations (34E10) Multiple scale methods for ordinary differential equations (34E13)

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