SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL (Q3648638): Difference between revisions
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| Property / cites work: Malliavin differentiability of the Heston volatility and applications to option pricing / rank | |||
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Latest revision as of 05:04, 2 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL |
scientific article |
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SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL (English)
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27 November 2009
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implied volatility asymptotics
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Heston
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large deviation
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small-time behavior
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