Numerical studies on asymptotics of European option under multiscale stochastic volatility
type: Item
instance of: scholarly article
title: Numerical studies on asymptotics of European option under multiscale stochastic volatility
zbMATH Open document ID: 1408.91207
author: Betuel Canhanga
author: Anatoliy Malyarenko
author: Jean-Paul Murara
author: Ying Ni
author: Sergei Silvestrov
published in: Methodology and Computing in Applied Probability
publication date: 2018-02-02T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 41A60
zbMATH DE Number: 6833609
zbMATH Keywords: financial market
zbMATH Keywords: mean reversion volatility
zbMATH Keywords: asymptotic expansion
zbMATH Keywords: stochastic volatilities
zbMATH Keywords: regular perturbation
zbMATH Keywords: singular perturbation
zbMATH Keywords: European option
MaRDI profile type: Publication
full work available at URL: s11009-017-9553-8
OpenAlex ID: W2598737177
cites work: The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
cites work: American option pricing under two stochastic volatility processes
cites work: Two singular diffusion problems
cites work: Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
cites work: Q5327139
DOI: 10.1007/S11009-017-9553-8
description: scientific article; zbMATH DE number 6833609