Asymptotic expansions of option price under regime-switching diffusions with a fast-varying switching process

DOI10.3233/ASY-2009-0953zbMath1186.60056OpenAlexW2137487880MaRDI QIDQ5852563

G. George Yin

Publication date: 27 January 2010

Published in: Asymptotic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/asy-2009-0953

zbMATH Keywords

asymptotic expansiontwo-time scalefast reversion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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