Pricing perpetual American options under a stochastic-volatility model with fast mean reversion

RIS ID

37956

Publication Details

Zhu, S. & Chen, W. (2011). Pricing perpetual American options under a stochastic-volatility model with fast mean reversion. Applied Mathematics Letters, 24 (10), 1663-1669.

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Link to publisher version (DOI)

http://dx.doi.org/10.1016/j.aml.2011.04.011