Financial modeling in a fast mean-reverting stochastic volatility environment
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Publication:1012317
DOI10.1023/A:1010010626460zbMath1157.91358MaRDI QIDQ1012317
K. Ronnie Sircar, Jean-Pierre Fouque, George S. Papanicolaou
Publication date: 15 April 2009
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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