Small-time smile for the multifactor volatility Heston model (Q5139918)
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scientific article; zbMATH DE number 7284532
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Small-time smile for the multifactor volatility Heston model |
scientific article; zbMATH DE number 7284532 |
Statements
Small-Time smile for the multifactor volatility heston model (English)
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11 December 2020
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implied volatility
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Wishart process
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asymptotic expansion
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large deviation
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Laplace expansion
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0.875546395778656
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0.8579607009887695
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0.8337661027908325
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0.8215456008911133
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0.8197618722915649
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