A Remark on a Singular Perturbation Method for Option Pricing Under a Stochastic Volatility Model
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Volume (Year): 16 (2009)
Issue (Month): 4 (December)
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- 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.
- Kyo Yamamoto & Seisho Sato & Akihiko Takahashi, 2009. "Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment," CIRJE F-Series CIRJE-F-625, CIRJE, Faculty of Economics, University of Tokyo.
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