Second-order stochastic volatility asymptotics and the pricing of foreign exchange derivatives
Tommaso Pellegrino
| Year of publication: |
2020
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|---|---|
| Authors: | Pellegrino, Tommaso |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 23.2020, 3, p. 1-30
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| Subject: | FX derivatives pricing | stochastic volatility | asymptotic analysis | singular perturbation theory | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Währungsderivat | Currency derivative | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024920500211 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012271009