Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model
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Publication:3563687
DOI10.1137/090745465zbMath1203.91321OpenAlexW2114335557MaRDI QIDQ3563687
Jin Feng, Martin Forde, Jean-Pierre Fouque
Publication date: 1 June 2010
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/2e0f2bb36368660f1dbd59ee70e71946bb112beb
Large deviations (60F10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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