Singular Perturbations in Option Pricing
- 1 January 2003
- journal article
- Published by Society for Industrial & Applied Mathematics (SIAM) in SIAM Journal on Applied Mathematics
- Vol. 63 (5) , 1648-1665
- https://doi.org/10.1137/s0036139902401550
Abstract
No abstract availableThis publication has 3 references indexed in Scilit:
- Variance reduction for Monte Carlo simulation in a stochastic volatility environmentQuantitative Finance, 2002
- MEAN-REVERTING STOCHASTIC VOLATILITYInternational Journal of Theoretical and Applied Finance, 2000
- The Pricing of Options on Assets with Stochastic VolatilitiesThe Journal of Finance, 1987