Pricing perpetual American options under a stochastic-volatility model with fast mean reversion (Q550461)
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scientific article; zbMATH DE number 5919236
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing perpetual American options under a stochastic-volatility model with fast mean reversion |
scientific article; zbMATH DE number 5919236 |
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Pricing perpetual American options under a stochastic-volatility model with fast mean reversion (English)
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11 July 2011
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perturbation method
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perpetual American put options
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fast mean-reverting stochastic volatility
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