AIP Conference Proceedings [Author(s) ICNPAA 2016 WORLD CONGRESS: 11th International Conference on Mathematical Problems in Engineering, Aerospace and Sciences - La Rochelle, France (4–8 July 2016)] - Numerical methods on European option second order asymptotic expansions for multiscale stochastic volatility
Canhanga, Betuel, Ni, Ying, Rančić, Milica, Malyarenko, Anatoliy, Silvestrov, SergeiVolume:
1798
Année:
2017
Langue:
english
DOI:
10.1063/1.4972627
Fichier:
PDF, 167 KB
english, 2017