The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model (Q4902231): Difference between revisions
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Revision as of 17:56, 5 March 2024
scientific article; zbMATH DE number 6130660
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model |
scientific article; zbMATH DE number 6130660 |
Statements
The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model (English)
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25 January 2013
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Heston model
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implied volatility
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asymptotics
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saddlepoint expansion
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calibration
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