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European Journal of Applied Mathematics

Volumn 16, Issue 3, 2005, Pages 385-409

Convergence to Black-Scholes for ergodic volatility models

(2) Conlon, Joseph G a Sullivan, Michael G b

a UNIVERSITY OF MICHIGAN (United States)

b UNIVERSITY OF MASSACHUSETTS (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 28544449004 PISSN: 09567925 EISSN: None Source Type: Journal
DOI: 10.1017/S0956792505006285 Document Type: Article

Times cited : (7)

References (13)

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5
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- Fouque, J.P.¹ Papanicalaou, G.² Sircar, R.³

6
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- Singular perturbations in option pricing
- FOUQUE, J. P., PAPANICOLAOU, G., SIRCAR, R. & SOLNA, K. (2003) Singular perturbations in option pricing. SIAM J. Appl Math. 63, 1648-1665.
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7
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- A closed-form solution of options with stochastic volatility with applications to bond and currency options
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- Singular perturbations for boundary value problems arising from exotic options
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13
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.