Singular perturbation techniques applied to multi-asset option pricing

Accounting and Finance

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published

Standard

Singular perturbation techniques applied to multi-asset option pricing. / Duck, P W; Newton, D P; Widdicks, M et al.
In: Mathematical Finance, Vol. 19, No. 3, 2009, p. 457-486.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Duck, PW, Newton, DP, Widdicks, M & Yang, C 2009, 'Singular perturbation techniques applied to multi-asset option pricing', Mathematical Finance, vol. 19, no. 3, pp. 457-486.

APA

Duck, P. W., Newton, D. P., Widdicks, M., & Yang, C. (2009). Singular perturbation techniques applied to multi-asset option pricing. Mathematical Finance, 19(3), 457-486.

Vancouver

Duck PW, Newton DP, Widdicks M, Yang C. Singular perturbation techniques applied to multi-asset option pricing. Mathematical Finance. 2009;19(3):457-486.

Author

Duck, P W ; Newton, D P ; Widdicks, M et al. / Singular perturbation techniques applied to multi-asset option pricing. In: Mathematical Finance. 2009 ; Vol. 19, No. 3. pp. 457-486.

Bibtex

@article{2b94ff854d674a38a86be5f237301fcf,

title = "Singular perturbation techniques applied to multi-asset option pricing",

author = "Duck, {P W} and Newton, {D P} and M Widdicks and C Yang",

year = "2009",

language = "English",

volume = "19",

pages = "457--486",

journal = "Mathematical Finance",

issn = "0960-1627",

publisher = "Wiley-Blackwell",

number = "3",

}

RIS

TY - JOUR

T1 - Singular perturbation techniques applied to multi-asset option pricing

AU - Duck, P W

AU - Newton, D P

AU - Widdicks, M

AU - Yang, C

PY - 2009

Y1 - 2009

M3 - Journal article

VL - 19

SP - 457

EP - 486

JO - Mathematical Finance

JF - Mathematical Finance

SN - 0960-1627

IS - 3

ER -

Research