Small-Time smile for the multifactor volatility heston model (Q5139918)
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scientific article; zbMATH DE number 7284532
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Small-Time smile for the multifactor volatility heston model |
scientific article; zbMATH DE number 7284532 |
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Small-Time smile for the multifactor volatility heston model (English)
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11 December 2020
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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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