A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model (Q2996524): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| (3 intermediate revisions by 3 users not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: Publication / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2004330626 / rank | |||
Normal rank | |||
| Property / arXiv ID | |||
| Property / arXiv ID: 1007.4366 / rank | |||
Normal rank | |||
| links / mardi / name | links / mardi / name | ||
Latest revision as of 11:59, 19 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model |
scientific article |
Statements
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model (English)
0 references
2 May 2011
0 references
stochastic volatility
0 references
Heston model
0 references
fast mean reversion
0 references
asymptotics
0 references
implied volatility smile/skew
0 references
