Uniform asymptotic expansions for pricing European options

DOI10.1007/S00245-005-0833-2zbMATH Open1087.60045OpenAlexW1991813615MaRDI QIDQ816972FDOQ816972

Authors R. Z. Khas'minskiĭ, G. Yin

Publication date 2 March 2006

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-005-0833-2

zbMATH Keywords

diffusionEuropean optionSingular perturbationTwo-time scale

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Singular perturbations, turning point theory, WKB methods for ordinary differential equations (34E20)

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