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Showing 1 to 1 of 1 for “"singular and regular perturbations"”.
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Singular Perturbations on Non-Smooth Boundary Problems in Finance
… options, American options, Asian options, and variance (or volatility) contracts in the context of stochastic volatility models. Singular perturbations are used mainly. A singular-regular perturbation is applied on Asian option problems. Epsilon-Martingale decompositions are employed to the …