Financial modeling in a fast mean-reverting stochastic volatility environment

Asia-Pacific Financial Markets

Volumn 6, Issue 1, 1999, Pages 37-48

  Fouque, Jean Pierre ^a   Papanicolaou, George ^b   Sircar, K Ronnie ^c  

^a NORTH CAROLINA STATE UNIVERSITY   (United States)

^b STANFORD UNIVERSITY   (United States)

^c UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Incomplete markets; Option pricing; Stochastic equations; Stochastic volatility

Indexed keywords

EID: 2442546355     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1010010626460     Document Type: Conference Paper

References (11)

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2. Fouque, J.-P., Papanicolaou, G., and Sircar, K. R. (1998) General theory of fast mean-reverting stochastic volatility (in preparation).
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11. Wilmott, P., Dewynne, J., and Howison, S. (1996) Mathematics of Financial Derivatives: A Student Introduction, Cambridge University Press.