"Pricing perpetual American puts under multi-scale stochastic volatility."

Wen-Ting Chen, Song-Ping Zhu (2012)

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DOI: 10.3233/ASY-2012-1110

access: closed

type: Journal Article

metadata version: 2020-09-06

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Wen-Ting Chen, Song-Ping Zhu:
Pricing perpetual American puts under multi-scale stochastic volatility. Asymptot. Anal. 80(1-2): 133-148 (2012)

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