SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL (Q3648638): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 12:07, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL |
scientific article |
Statements
SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL (English)
0 references
27 November 2009
0 references
implied volatility asymptotics
0 references
Heston
0 references
large deviation
0 references
small-time behavior
0 references
