The Averaging Principle for Non-autonomous Slow-fast Stochastic Differential Equations and an Application to a Local Stochastic Volatility Model
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- Fouque,Jean-Pierre & Papanicolaou,George & Sircar,Ronnie & Sølna,Knut, 2011. "Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives," Cambridge Books, Cambridge University Press, number 9780521843584, June.
- Debussche, Arnaud & Hu, Ying & Tessitore, Gianmario, 2011. "Ergodic BSDEs under weak dissipative assumptions," Stochastic Processes and their Applications, Elsevier, vol. 121(3), pages 407-426, March.
- Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2017.
"Explicit Implied Volatilities For Multifactor Local-Stochastic Volatility Models,"
Mathematical Finance, Wiley Blackwell, vol. 27(3), pages 926-960, July.
- Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "Explicit implied volatilities for multifactor local-stochastic volatility models," Papers 1306.5447, arXiv.org, revised Nov 2014.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2021-02-01 (Risk Management)
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