Uniform asymptotic expansions for pricing European options
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Publication:816972
DOI10.1007/s00245-005-0833-2zbMath1087.60045OpenAlexW1991813615MaRDI QIDQ816972
G. George Yin, Rafail Z. Khasminskii
Publication date: 2 March 2006
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-005-0833-2
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Singular perturbations, turning point theory, WKB methods for ordinary differential equations (34E20)
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