Asymptotic analysis for stochastic volatility: martingale expansion (Q484204)
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scientific article; zbMATH DE number 6381567
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| English | Asymptotic analysis for stochastic volatility: martingale expansion |
scientific article; zbMATH DE number 6381567 |
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Asymptotic analysis for stochastic volatility: martingale expansion (English)
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18 December 2014
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asymptotic expansion
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fast mean reversion
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fractional Brownian motion
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jump-diffusion
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partial Malliavin calculus
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Yoshida's formula
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0.94268614
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0.9063564
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0.9037727
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0.9019822
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