The small-maturity Heston forward smile (Q2873151)
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scientific article; zbMATH DE number 6249482
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | The small-maturity Heston forward smile |
scientific article; zbMATH DE number 6249482 |
Statements
23 January 2014
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stochastic volatility
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Heston model
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forward implied volatility
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asymptotic expansion
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The small-maturity Heston forward smile (English)
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0.9176841974258424
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0.904447376728058
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0.8825790286064148
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0.8726622462272644
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0.8658781051635742
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