Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility

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. [doi]

Abstract

Abstract is missing.