Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
| Year of publication: |
2011
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|---|---|
| Authors: | Chiu, Mei Choi ; Lo, Yu Wai ; Wong, Hoi Ying |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 7207359. - Vol. 39.2011, 4, p. 289-296
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