Singular Perturbations for Boundary Value Problems Arising from Exotic Options

DOI10.1137/S0036139902420043zbMath1099.91062MaRDI QIDQ4830584

Aytaç İlhan, Mattias Jonsson, Ronnie Sircar

Publication date: 13 December 2004

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityoption pricingasymptotic approximations

Mathematics Subject Classification ID

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