SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
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Publication:3648638
DOI10.1142/S021902490900549XzbMath1203.91290MaRDI QIDQ3648638
Antoine Jacquier, Martin Forde
Publication date: 27 November 2009
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)
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