Black-Scholes in a CEV random environment
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Publication:1648901
DOI10.1007/s11579-018-0211-xzbMath1397.91571arXiv1503.08082OpenAlexW2963176811MaRDI QIDQ1648901
Patrick Roome, Antoine Jacquier
Publication date: 5 July 2018
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1503.08082
Stochastic models in economics (91B70) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)
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The asymptotic smile of a multiscaling stochastic volatility model ⋮ The Randomized Heston Model ⋮ Large-maturity regimes of the Heston forward smile ⋮ Asymptotic behaviour of randomised fractional volatility models
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