A fast mean-reverting correction to Heston's stochastic volatility model (Q2996524)
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scientific article; zbMATH DE number 5882829
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| default for all languages | No label defined |
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| English | A fast mean-reverting correction to Heston's stochastic volatility model |
scientific article; zbMATH DE number 5882829 |
Statements
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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0.8596135377883911
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0.8244822025299072
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0.8172092437744141
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0.8160971999168396
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0.81166672706604
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