Asymptotic formulae for implied volatility in the Heston model (Q2997309): Difference between revisions
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Revision as of 22:18, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic formulae for implied volatility in the Heston model |
scientific article |
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Asymptotic formulae for implied volatility in the Heston model (English)
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6 May 2011
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implied volatility
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heston model
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saddlepoint expansions
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closed-form formula
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asymptotics
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