Asymptotic formulae for implied volatility in the Heston model (Q2997309)
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scientific article; zbMATH DE number 5885566
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Asymptotic formulae for implied volatility in the Heston model |
scientific article; zbMATH DE number 5885566 |
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Asymptotic formulae for implied volatility in the Heston model (English)
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6 May 2011
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implied volatility
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heston model
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saddlepoint expansions
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closed-form formula
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asymptotics
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0.8498495221138
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0.8472714424133301
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0.8461369276046753
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0.8297702670097351
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0.8283528089523315
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