Asymptotic analysis for stochastic volatility: martingale expansion (Q484204)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Asymptotic analysis for stochastic volatility: martingale expansion |
scientific article; zbMATH DE number 6381567
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic analysis for stochastic volatility: martingale expansion |
scientific article; zbMATH DE number 6381567 |
Statements
Asymptotic analysis for stochastic volatility: martingale expansion (English)
0 references
18 December 2014
0 references
asymptotic expansion
0 references
fast mean reversion
0 references
fractional Brownian motion
0 references
jump-diffusion
0 references
partial Malliavin calculus
0 references
Yoshida's formula
0 references
0 references
0 references
0.94268614
0 references
0 references
0.9063564
0 references
0 references
0.9037727
0 references
0.9019822
0 references
