Financial Modeling in a Fast Mean-Reverting Stochastic Volatility Environment
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DOI: 10.1023/A:1010010626460
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Cited by:
- Kyo Yamamoto & Akihiko Takahashi, 2009. "A Remark on a Singular Perturbation Method for Option Pricing Under a Stochastic Volatility Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(4), pages 333-345, December.
- Collan, Mikael, 2004. "Giga-Investments: Modelling the Valuation of Very Large Industrial Real Investments," MPRA Paper 4328, University Library of Munich, Germany.
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Keywords
incomplete markets; option pricing; stochastic equations; stochastic volatility;All these keywords.
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