Matching asymptotics in path-dependent option pricing
type: Item
instance of: scholarly article
title: Matching asymptotics in path-dependent option pricing
zbMATH Open document ID: 1233.91289
author: Sang-Hyeon Park
author: Sun-Yong Choi
author: Jeong-Hoon Kim
published in: Journal of Mathematical Analysis and Applications
publication date: 2010-05-10T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 5706226
zbMATH Keywords: path-dependent option
zbMATH Keywords: stochastic volatility
zbMATH Keywords: singularity
zbMATH Keywords: matched asymptotic expansion
MaRDI profile type: Publication
full work available at URL: j.jmaa.2010.01.042
OpenAlex ID: W1984061534
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DOI: 10.1016/J.JMAA.2010.01.042
description: scientific article; zbMATH DE number 5706226