Fouque, Jean-Pierre; Saporito, Yuri F.; Zubelli, Jorge P. - arXiv.org - 2013
In this paper we present a new method to compute the first-order approximation of the price of derivatives on futures in the context of multiscale stochastic volatility of Fouque \textit{et al.} (2011, CUP). It provides an alternative method to the singular perturbation technique presented in...