Large deviations for the extended Heston model : the large-time case
Year of publication: |
2014
|
---|---|
Authors: | Jacquier, Antoine ; Mijatovi´c, Aleksandar |
Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 21.2014, 3, p. 263-280
|
Subject: | Heston | Implied volatility | Asymptotics | Large deviations | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory |
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