Asymptotic expansion for the characteristic function of a multiscale stochastic volatility model (Q2923239)
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scientific article; zbMATH DE number 6355980
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| English | Asymptotic expansion for the characteristic function of a multiscale stochastic volatility model |
scientific article; zbMATH DE number 6355980 |
Statements
15 October 2014
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stochastic volatility
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fast mean-reversion
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asymptotic
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characteristic function
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implied volatility smile/skew
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Asymptotic expansion for the characteristic function of a multiscale stochastic volatility model (English)
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0.8355860114097595
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0.8106002807617188
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0.8027921915054321
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0.7845627665519714
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0.7825891971588135
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