THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS (Q5411743)
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scientific article; zbMATH DE number 6288161
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS |
scientific article; zbMATH DE number 6288161 |
Statements
THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS (English)
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25 April 2014
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SABR model
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Brownian exponential functional
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CEV model
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large deviations
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Heston model
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