Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model (Q3563687)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model |
scientific article |
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Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model (English)
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1 June 2010
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stochastic volatility
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Heston model
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multiscale asymptotics
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large deviation principle
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implied volatility
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