Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model (Q3563687)
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scientific article; zbMATH DE number 5714643
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| 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)
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1 June 2010
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stochastic volatility
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Heston model
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multiscale asymptotics
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large deviation principle
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implied volatility
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0.9126543998718262
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0.893282949924469
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0.8718712329864502
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0.8521425724029541
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0.8412759304046631
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