A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model (Q2996524): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 21:07, 3 February 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
