Uniform asymptotic expansions for pricing European options

Applied Mathematics and Optimization

Volumn 52, Issue 3, 2005, Pages 279-296

  Khasminskii, Rafail Z ^a   Yin, G ^a  

^a WAYNE STATE UNIVERSITY   (United States)

Author keywords

Diffusion; European option; Singular perturbation; Two time scale

Indexed keywords

DIFFUSION; ERROR ANALYSIS; MATHEMATICAL TECHNIQUES; RANDOM PROCESSES;

ASYMPTOTIC EXPANSIONS; EUROPEAN OPTION; SINGULAR PERTURBATION; TWO-TIME SCALE;

PERTURBATION TECHNIQUES;

EID: 29644448200     PISSN: 00954616     EISSN: 14320606     Source Type: Journal    
DOI: 10.1007/s00245-005-0833-2     Document Type: Article

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