The randomized Heston model (Q5742496)
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scientific article; zbMATH DE number 7054538
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | The randomized Heston model |
scientific article; zbMATH DE number 7054538 |
Statements
The Randomized Heston Model (English)
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14 May 2019
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stochastic volatility
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large deviations
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Heston
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implied volatility
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asymptotic expansion
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0.8023281693458557
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0.801318347454071
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0.7993918061256409
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0.7966383695602417
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0.7933116555213928
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