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"Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic ..."

Jean-Pierre Fouque, Sebastian Jaimungal, Matthew J. Lorig (2011)

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DOI: 10.1137/100803614

access: closed

type: Journal Article

metadata version: 2024-02-05

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Jean-Pierre Fouque, Sebastian Jaimungal, Matthew J. Lorig:
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models. SIAM J. Financial Math. 2(1): 665-691 (2011)

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