Zhu, Song-Ping; Chen, Wen-Ting Pricing perpetual American options under a stochastic-volatility model with fast mean reversion. (English) Zbl 1216.91035 Appl. Math. Lett. 24, No. 10, 1663-1669 (2011). MSC: 91G20 35R35 PDF BibTeX XML Cite \textit{S.-P. Zhu} and \textit{W.-T. Chen}, Appl. Math. Lett. 24, No. 10, 1663--1669 (2011; Zbl 1216.91035) Full Text: DOI
Pillay, E.; O’Hara, J. G. FFT based option pricing under a mean reverting process with stochastic volatility and jumps. (English) Zbl 1213.91162 J. Comput. Appl. Math. 235, No. 12, 3378-3384 (2011). MSC: 91G60 65T50 91G20 65C05 PDF BibTeX XML Cite \textit{E. Pillay} and \textit{J. G. O'Hara}, J. Comput. Appl. Math. 235, No. 12, 3378--3384 (2011; Zbl 1213.91162) Full Text: DOI
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie; Solna, Knut Maturity cycles in implied volatility. (English) Zbl 1063.91066 Finance Stoch. 8, No. 4, 451-477 (2004). Reviewer: Yuliya Mishura MSC: 91B70 60F05 60H30 PDF BibTeX XML Cite \textit{J.-P. Fouque} et al., Finance Stoch. 8, No. 4, 451--477 (2004; Zbl 1063.91066) Full Text: DOI