Search Results - subject:"singular perturbation"

Rate of convergence for first-order singular perturbation problems : Hamilton-Jacobi-Isaacs equations and mean field games of acceleration

Cannarsa, Piermarco; Mendico, Cristian - In: Dynamic games and applications : DGA 15 (2025) 2, pp. 592-609

Persistent link: https://www.econbiz.de/10015515235

On the asymptotic behavior of the optimal exercise price near expiry of an American put option under stochastic volatility

Chen, Wenting; Zhu, Song-Ping - In: Journal of Risk and Financial Management 15 (2022) 5, pp. 1-19

The behavior of the optimal exercise price of American puts near expiry has been well studied under the Black-Scholes model as a result of a series of publications. However, the behavior of the optimal exercise price under a stochastic volatility model, such as the Heston model, has not been...

Persistent link: https://www.econbiz.de/10014332390

On the asymptotic behavior of the optimal exercise price near expiry of an American put option under stochastic volatility

Chen, Wenting; Zhu, Song-Ping - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-19

Persistent link: https://www.econbiz.de/10013273116

A multi time-scale theory of economic growth and cycles

Jacobo, Juan - In: Structural change and economic dynamics : SC+ED 62 (2022), pp. 143-155

Persistent link: https://www.econbiz.de/10013533824

Second-order stochastic volatility asymptotics and the pricing of foreign exchange derivatives

Pellegrino, Tommaso - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10012271009

An analytic approximation for valuation of the American option under the Heston model in two regimes

Jeon, Junkee; Huh, Jeonggyu; Park, Kyunghyun - In: Computational economics 56 (2020) 2, pp. 499-528

Persistent link: https://www.econbiz.de/10012272044

Time Scale Externalities and the Management of Renewable Resources

Vardas, Giannis; Xepapadeas, Anastasios - 2015

-cooperative solutions under time scale separation. Using singular perturbation reduction methods (Fenichel 1979), we examine the role of …

Persistent link: https://www.econbiz.de/10011307267

Time Scale Externalities and the Management of Renewable Resources

Vardas, Giannis; Xepapadeas, Anastasios - Fondazione ENI Enrico Mattei (FEEM) - 2015

-cooperative solutions under time scale separation. Using singular perturbation reduction methods (Fenichel 1979), we examine the role of …

Persistent link: https://www.econbiz.de/10011268608

Managing Interacting Populations under Time Scale Separation

Vardas, Giannis; Xepapadeas, Anastasios - Department of International and European Economic … - 2015

work, we study multispecies resource management under time scale separation by adopting the framework of singular … perturbation reduction methods. By extending recent work by Vardas and Xepapadeas (2015) to interacting populations, we study …

Persistent link: https://www.econbiz.de/10011210748

Time Scale Externalities and the Management of Renewable Resources

Vardas, Giannis; Xepapadeas, Anastasios - Department of International and European Economic … - 2015

-cooperative solutions under time scale separation. Using singular perturbation reduction methods (Fenichel 1979), we examine the role of …

Persistent link: https://www.econbiz.de/10011120237