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Small-Time smile for the multifactor volatility heston model - MaRDI portal

Small-Time smile for the multifactor volatility heston model (Q5139918)

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scientific article; zbMATH DE number 7284532
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English
Small-Time smile for the multifactor volatility heston model
scientific article; zbMATH DE number 7284532

    Statements

    title
    Small-Time smile for the multifactor volatility heston model (English)
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    author
    Dohyun Ahn
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    Kyoung-Kuk Kim
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    Young-Hoon Kim
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    publication date
    11 December 2020
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    zbMATH Keywords
    implied volatility
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    Wishart process
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    asymptotic expansion
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    large deviation
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    Laplace expansion
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    Identifiers

    DOI
    10.1017/jpr.2020.63
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    Mathematics Subject Classification ID
    91G30
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    41A60
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    60F10
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    91G60
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    zbMATH DE Number
    7284532
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    OpenAlex ID
    W3107810771
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