Multiscale Stochastic Volatility Asymptotics

Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna. Multiscale Stochastic Volatility Asymptotics. Multiscale Modeling & Simulation, 2(1):22-42, 2003. [doi]

Authors

Jean-Pierre Fouque

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George Papanicolaou

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Ronnie Sircar

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Knut Sølna

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