ASYMPTOTIC EXPANSION FOR THE CHARACTERISTIC FUNCTION OF A MULTISCALE STOCHASTIC VOLATILITY MODEL (Q2923239): Difference between revisions
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Revision as of 12:09, 1 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ASYMPTOTIC EXPANSION FOR THE CHARACTERISTIC FUNCTION OF A MULTISCALE STOCHASTIC VOLATILITY MODEL |
scientific article |
Statements
ASYMPTOTIC EXPANSION FOR THE CHARACTERISTIC FUNCTION OF A MULTISCALE STOCHASTIC VOLATILITY MODEL (English)
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15 October 2014
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stochastic volatility
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fast mean-reversion
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asymptotic
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characteristic function
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implied volatility smile/skew
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