Multiscale Stochastic Volatility Asymptotics
نویسندگان
چکیده
منابع مشابه
Multiscale Stochastic Volatility Asymptotics
In this paper we propose to use a combination of regular and singular perturbations to analyze parabolic PDEs that arise in the context of pricing options when the volatility is a stochastic process that varies on several characteristic time scales. The classical Black-Scholes formula gives the price of call options when the underlying is a geometric Brownian motion with a constant volatility. ...
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ژورنال
عنوان ژورنال: Multiscale Modeling & Simulation
سال: 2003
ISSN: 1540-3459,1540-3467
DOI: 10.1137/030600291