A uniform asymptotic expansion for stochastic volatility model in pricing multi-asset European options-Reference-Cited by-同舟云学术

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A uniform asymptotic expansion for stochastic volatility model in pricing multi-asset European options

Published:2011-02-21 Issue:4 Volume:28 Page:324-341
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl. Stochastic Models Bus. Ind.

Author:

Ma Yansheng,Li Yong

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modelling and Simulation

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/asmb.880/fullpdf

Reference12 articles.

1. The pricing of options on assets with stochastic volatilities;Hull;The Journal of Finance,1987

2. Singular perturbations in option pricing;Fouque;SIAM Journal on Applied Mathematics,2003

3. Uniform asymptotic expansions for pricing European options;Khasminskii;Applied Mathematics and Optimization,2005

4. Lookback options and dynamic fund protection under multiscale stochastic volatility;Wong;Insurance: Mathematics and Economics,2007

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A Simple Approach for Multi-fidelity Experimentation Applied to Financial Engineering;Applied Stochastic Models in Business and Industry;2014-10-27

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