FOUQUE, JEAN-PIERRE; SAPORITO, YURI F.; ZUBELLI, JORGE P. - In: International Journal of Theoretical and Applied … 17 (2014) 07, pp. 1450043-1
In this paper, we present a new method for computing the first-order approximation of the price of derivatives on futures in the context of multiscale stochastic volatility studied in Fouque et al. (2011). It provides an alternative method to the singular perturbation technique presented in...