Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model

✍ Scribed by Feng, Jin; Forde, Martin; Fouque, Jean-Pierre

• Book ID: 118203587
• Publisher: Society for Industrial and Applied Mathematics
• Year: 2010
• Tongue: English
• Weight: 290 KB
• Volume: 1
• Category: Article
• ISSN: 1945-497X
• DOI: 10.1137/090745465