Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing
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Publication:5215986
DOI10.1137/18M1197588zbMath1433.91166arXiv1806.06883OpenAlexW2995375476MaRDI QIDQ5215986
David Krief, Aurélien Alfonsi, Peter Tankov
Publication date: 14 February 2020
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1806.06883
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