A Remark on a Singular Perturbation Method for Option Pricing Under a Stochastic Volatility Model
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 16 (2009)
Issue (Month): 4 (December)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Approximation accuracy; Option pricing; Partial differential equation; Singular perturbation; Stochastic volatility;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jean-Pierre Fouque & George Papanicolaou & K. Sircar, 1999. "Financial Modeling in a Fast Mean-Reverting Stochastic Volatility Environment," Asia-Pacific Financial Markets, Springer, vol. 6(1), pages 37-48, January.
- Flavia Barsotti, 2012. "Optimal Capital Structure with Endogenous Default and Volatility Risk," Working Papers - Mathematical Economics 2012-02, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
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