?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Fmiis.maths.ox.ac.uk%2Fmiis%2F595%2F&rft.title=Approximate+solution+to+a+hybrid+model+with+stochastic+volatility%3A+a+singular-perturbation+strategy&rft.creator=Fatima%2C+T&rft.creator=Grzelak%2C+L&rft.creator=Hendriks%2C+H&rft.subject=Discrete&rft.subject=None%2FOther&rft.subject=Finance&rft.description=We+study+a+hybrid+model+of+Schobel-Zhu-Hull-White-type+from+a+singular-perturbation-analysis+perspective.+The+merit+of+the+paper+is+twofold%3A+On+one+hand%2C+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%2C+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.&rft.date=2009&rft.type=Study+Group+Report&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.identifier=http%3A%2F%2Fmiis.maths.ox.ac.uk%2Fmiis%2F595%2F1%2FWag4.pdf&rft.identifier=++Fatima%2C+T+and+Grzelak%2C+L+and+Hendriks%2C+H++(2009)+Approximate+solution+to+a+hybrid+model+with+stochastic+volatility%3A+a+singular-perturbation+strategy.++%5BStudy+Group+Report%5D+++++