Multiscale analysis of a perpetual American option with the stochastic elasticity of variance

Ji-Hun Yoon, Jeong-Hoon Kim, Sun-Yong Choi. Multiscale analysis of a perpetual American option with the stochastic elasticity of variance. Appl. Math. Lett., 26(7):670-675, 2013. [doi]

Abstract

Abstract is missing.