FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT.
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| Title: | FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT. |
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| Authors: | SAPORITO, YURI F.1 yuri.saporito@fgv.br |
| Source: | International Journal of Theoretical & Applied Finance. May2018, Vol. 21 Issue 3, pN.PAG-N.PAG. 22p. |
| Database: | Mathematics Source |
| ISSN: | 02190249 |
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| DOI: | 10.1142/S0219024918500243 |
