Large-maturity regimes of the Heston forward smile (Q5965371)
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scientific article; zbMATH DE number 6549082
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large-maturity regimes of the Heston forward smile |
scientific article; zbMATH DE number 6549082 |
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Large-maturity regimes of the Heston forward smile (English)
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3 March 2016
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Heston model
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large deviations
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stochastic volatility
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forward implied volatility
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asymptotic expansion
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