Convergence by viscosity methods in multiscale financial models with stochastic volatility

SIAM Journal on Financial Mathematics

Volumn 1, Issue 1, 2010, Pages 230-265

  Bardi, Martino ^a   Cesaroni, Annalisa ^a   Manca, Luigi ^b  

^a UNIVERSITY OF PADOVA   (Italy)

^b UNIVERSITÉ DE TOULON   (France)

Author keywords

Asymptotic approximation; Portfolio optimization; Singular perturbations; Stochastic volatility; Viscosity solutions

Indexed keywords

EID: 79951575188     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/090748147     Document Type: Article

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