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
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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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- Option pricing under model involving slow growth volatility
- AN ASYMPTOTIC VALUATION FOR THE OPTION UNDER A GENERAL STOCHASTIC VOLATILITY(Special Issue on Theory, Methodology and Applications in Financial Engneering)
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- Matching asymptotics in path-dependent option pricing
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- Stochastic Optimization Methods for Buying-Low-and-Selling-High Strategies
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