A uniform asymptotic expansion for stochastic volatility model in pricing multi‐asset European options
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Publication:5414507
DOI10.1002/asmb.880zbMath1286.91138MaRDI QIDQ5414507
Publication date: 6 May 2014
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.880
91B70: Stochastic models in economics
91B24: Microeconomic theory (price theory and economic markets)
91G20: Derivative securities (option pricing, hedging, etc.)
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
Cites Work
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- Singular Perturbations in Option Pricing
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- Superreplication of Options on Several Underlying Assets
- Stochastic differential equations. An introduction with applications.