Time Dependent Heston Model
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Publication:3563695
DOI10.1137/090753814zbMath1198.91203OpenAlexW3124191912MaRDI QIDQ3563695
Mohammed Miri, Eric Benhamou, Emmanuel Gobet
Publication date: 1 June 2010
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/090753814
asymptotic expansionMalliavin calculusCox-Ingersoll-Ross modelvolatility of volatilitytime dependent Heston model
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
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