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The Randomized Heston Model - MaRDI portal

The Randomized Heston Model (Q5742496)

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scientific article; zbMATH DE number 7054538
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English
The Randomized Heston Model
scientific article; zbMATH DE number 7054538

    Statements

    title
    The Randomized Heston Model (English)
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    author
    Antoine Jacquier
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    Fangwei Shi
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    publication date
    14 May 2019
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    zbMATH Keywords
    stochastic volatility
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    large deviations
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    Heston
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    implied volatility
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    asymptotic expansion
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    cites work
    Q3992980
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    Q4848510
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    Q4391441
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    Volatility is rough
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    Q3272696
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    Q4226811
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    Q4002114
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    Q4226355
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    Identifiers

    DOI
    10.1137/18M1166420
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    Mathematics Subject Classification ID
    91G20
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    60F10
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    91B70
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    91G60
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    zbMATH DE Number
    7054538
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    arXiv ID
    1608.07158
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    OpenAlex ID
    W2911621276
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