The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model (Q4902231)
From MaRDI portal
scientific article; zbMATH DE number 6130660
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model |
scientific article; zbMATH DE number 6130660 |
Statements
The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model (English)
0 references
25 January 2013
0 references
Heston model
0 references
implied volatility
0 references
asymptotics
0 references
saddlepoint expansion
0 references
calibration
0 references
