"Second order multiscale stochastic volatility asymptotics: stochastic ..."

Jean-Pierre Fouque, Matthew J. Lorig, Ronnie Sircar (2016)

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DOI: 10.1007/S00780-016-0298-Y

access: closed

type: Journal Article

metadata version: 2020-07-22

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Jean-Pierre Fouque, Matthew J. Lorig, Ronnie Sircar:
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. Finance Stochastics 20(3): 543-588 (2016)

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