Multiscale stochastic volatility asymptotics

Multiscale Modeling and Simulation

Volumn 2, Issue 1, 2004, Pages 22-42

  Fouque, Jean Pierre ^a   Papanicolaou, George ^b   Sircar, Ronnie ^c   Solna, Knut ^d  

^a NORTH CAROLINA STATE UNIVERSITY   (United States)

^b STANFORD UNIVERSITY   (United States)

^c Princeton University   (United States)

^d UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Implied volatility; Option pricing; Singular regular perturbations; Stochastic volatility; Time scales

Indexed keywords

BROWNIAN MOVEMENT; COMMERCE; COSTS; ECONOMIC ANALYSIS; ECONOMICS; FINANCIAL MARKETS; PERTURBATION TECHNIQUES; RANDOM PROCESSES; STOCHASTIC MODELS;

IMPLIED VOLATILITY; OPTION PRICING; REGULAR PERTURBATIONS; STOCHASTIC VOLATILITY; TIME-SCALES;

STOCHASTIC SYSTEMS;

EID: 84867466544     PISSN: 15403459     EISSN: 15403467     Source Type: Journal    
DOI: 10.1137/030600291     Document Type: Article

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