Maturity cycles in implied volatility

DOI10.1007/s00780-004-0126-7zbMath1063.91066OpenAlexW2148334170MaRDI QIDQ1776013

Jean-Pierre Fouque, Ronnie Sircar, George S. Papanicolaou, Knut Sølna

Publication date: 20 May 2005

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-004-0126-7

zbMATH Keywords

asymptotic expansionsfast mean-reverting stochastic volatility

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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