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]
@article{ChiuLW11,
title = {Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility},
author = {Mei Choi Chiu and Yu Wai Lo and Hoi Ying Wong},
year = {2011},
doi = {10.1016/j.orl.2011.06.002},
url = {http://dx.doi.org/10.1016/j.orl.2011.06.002},
researchr = {https://researchr.org/publication/ChiuLW11},
cites = {0},
citedby = {0},
journal = {Oper. Res. Lett.},
volume = {39},
number = {4},
pages = {289-295},
}