Singular Perturbations in Option Pricing
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Publication:4429801
DOI10.1137/S0036139902401550zbMath1039.91024OpenAlexW1977153352MaRDI QIDQ4429801
Ronnie Sircar, Knut Sølna, Jean-Pierre Fouque, George S. Papanicolaou
Publication date: 28 September 2003
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0036139902401550
Gaussian processes (60G15) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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