Matched asymptotic expansions in financial engineering

Journal of Engineering Mathematics

Volumn 53, Issue 3-4, 2005, Pages 385-406

  Howison, Sam ^a  

^a UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Financial derivatives; Matched asymptotic expansions; Option pricing; Stochastic volatility

Indexed keywords

ASYMPTOTIC STABILITY; DIFFERENTIAL EQUATIONS; MATHEMATICAL MODELS; RANDOM PROCESSES; VALUE ENGINEERING;

FINANCIAL DERIVATIVES; MATCHED ASYMPTOTIC EXPANSIONS; OPTION PRICING; STOCHASTIC VOLATILITY;

FINANCE;

ASYMPTOTIC STABILITY; DIFFERENTIAL EQUATIONS; FINANCE; MATHEMATICAL MODELS; RANDOM PROCESSES; VALUE ENGINEERING;

EID: 33644791529     PISSN: 00220833     EISSN: 15732703     Source Type: Journal    
DOI: 10.1007/s10665-005-7716-z     Document Type: Article

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