A Remark on a Singular Perturbation Method for Option Pricing Under a Stochastic Volatility Model
| Year of publication: |
2009
|
|---|---|
| Authors: | Yamamoto, Kyo ; Takahashi, Akihiko |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 16.2009, 4, p. 333-345
|
| Publisher: |
Springer |
| Subject: | Approximation accuracy | Option pricing | Partial differential equation | Singular perturbation | Stochastic volatility |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008527212