ASYMPTOTIC ANALYSIS FOR FOREIGN EXCHANGE DERIVATIVES WITH STOCHASTIC VOLATILITY
Year of publication: |
2010
|
---|---|
Authors: | CUTHBERTSON, CHARLES ; PAVLIOTIS, GRIGORIOS ; RAFAILIDIS, AVRAAM ; WIBERG, PETTER |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 13.2010, 07, p. 1131-1147
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Derivatives pricing | FX options | stochastic volatility | multiscale analysis | singular perturbation theory |
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