A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility (Q4628041)
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scientific article; zbMATH DE number 7032866
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility |
scientific article; zbMATH DE number 7032866 |
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A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility (English)
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6 March 2019
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multi-asset
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multi-scale
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stochastic volatility
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asymptotics
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dimension reduction
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illiquid market
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