"Asymptotic expansion for pricing options for a mean-reverting asset with ..."

Mei Choi Chiu, Yu Wai Lo, Hoi Ying Wong (2011)

> Home

Details and statistics

DOI: 10.1016/J.ORL.2011.06.002

access: closed

type: Journal Article

metadata version: 2021-10-14

- view
  - electronic edition via DOI
  - unpaywalled version
  authority control:
- export record
  dblp key:
  - journals/orl/ChiuLW11
- ask others
- share record
  persistent URL:
  - https://dblp.org/rec/journals/orl/ChiuLW11
Mei Choi Chiu, Yu Wai Lo, Hoi Ying Wong:
Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility. Oper. Res. Lett. 39(4): 289-295 (2011)

manage site settings

To protect your privacy, all features that rely on external API calls from your browser are turned off by default. You need to opt-in for them to become active. All settings here will be stored as cookies with your web browser. For more information see our F.A.Q.