The small-time smile and term structure of implied volatility under the Heston model (Q4902231)
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scientific article; zbMATH DE number 6130660
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| English | The small-time smile and term structure of implied volatility under the Heston model |
scientific article; zbMATH DE number 6130660 |
Statements
The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model (English)
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25 January 2013
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Heston model
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implied volatility
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asymptotics
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saddlepoint expansion
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calibration
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0.8892061114311218
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0.8825790286064148
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0.875546395778656
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0.8689205646514893
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0.8517686724662781
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