A Remark on a Singular Perturbation Method for Option Pricing Under a Stochastic Volatility Model

Kyo Yamamoto () and Akihiko Takahashi

Asia-Pacific Financial Markets, 2009, vol. 16, issue 4, 333-345

Keywords: Approximation accuracy; Option pricing; Partial differential equation; Singular perturbation; Stochastic volatility (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10690-009-9099-z

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

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