Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility

► The valuation of options for an asset which follows a mean-reverting log-normal process with a multiscale stochastic volatility. ► Asymptotic expansion for options and the corresponding implied volatility. ► A regression-based calibration for effective stochastic volatility parameters under the proposed model. ► Numerical examples of the use of the model and showing the quality of the numerical scheme.