A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model (Q2996524)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model |
scientific article |
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A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model (English)
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2 May 2011
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stochastic volatility
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Heston model
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fast mean reversion
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asymptotics
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implied volatility smile/skew
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