Singular perturbations in option pricing

SIAM Journal on Applied Mathematics

Volumn 63, Issue 5, 2003, Pages 1648-1665

  Fouque, J P ^a   Papanicolaou, G ^b   Sircar, R ^c   Solna, K ^d  

^a NORTH CAROLINA STATE UNIVERSITY   (United States)

^b STANFORD UNIVERSITY   (United States)

^c PRINCETON UNIVERSITY   (United States)

^d UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Mathematical finance; Option pricing; Singular perturbations; Stochastic volatility

Indexed keywords

ASYMPTOTIC STABILITY; BROWNIAN MOVEMENT; MATHEMATICAL MODELS; PERTURBATION TECHNIQUES; POISSON DISTRIBUTION;

PRICE VOLATILITY;

COSTS;

EID: 0344896646     PISSN: 00361399     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0036139902401550     Document Type: Article

References (8)

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