Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion (Q2962132)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion |
scientific article |
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Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion (English)
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16 February 2017
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stochastic volatility
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heat kernel expansion
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SABR model
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implied volatility asymptotics
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