Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model (Q3563687)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model |
scientific article; zbMATH DE number 5714643
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model |
scientific article; zbMATH DE number 5714643 |
Statements
Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model (English)
0 references
1 June 2010
0 references
stochastic volatility
0 references
Heston model
0 references
multiscale asymptotics
0 references
large deviation principle
0 references
implied volatility
0 references
0.9126543998718262
0 references
0.893282949924469
0 references
0.8718712329864502
0 references
0.8521425724029541
0 references
0.8412759304046631
0 references
