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"Pricing perpetual American options under a stochastic-volatility model ..."

Song-Ping Zhu, Wen-Ting Chen (2011)

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DOI: 10.1016/J.AML.2011.04.011

access: closed

type: Journal Article

metadata version: 2019-10-19

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Song-Ping Zhu, Wen-Ting Chen:
Pricing perpetual American options under a stochastic-volatility model with fast mean reversion. Appl. Math. Lett. 24(10): 1663-1669 (2011)

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