Convergence to Black-Scholes for ergodic volatility models
DOI10.1017/S0956792505006285zbMATH Open1136.91423OpenAlexW2161348852MaRDI QIDQ3373764FDOQ3373764
Authors: Joseph G. Conlon, Michael G. Sullivan 
Publication date: 9 March 2006
Published in: European Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0956792505006285
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- Proof of non-convergence of the short-maturity expansion for the SABR model
- Convergence rates results for recovering the volatility term structure including at-the-money options
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- On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model
- An alternative model of stochastic volatility for option pricing: a regime-switching diffusion model under fast mean reversion
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