Small-Time Asymptotics for Implied Volatility under the Heston Model
Year of publication: |
2012
|
---|---|
Authors: | Forde, Martin |
Other Persons: | Jacquier, Antoine (Jack) (contributor) |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
Description of contents: | Abstract [papers.ssrn.com] |
Extent: | 1 Online-Ressource |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: International Journal of Theoretical and Applied Finance, Vol. 12, No. 6, pp. 861-876, 2009 Volltext nicht verfügbar |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Improving the term structure of interest rates : two-factor models
Gómez-Valle, Lourdes, (2010)
-
Drawbacks and limitations of Black-Scholes model for options pricing
Janková, Zuzana, (2018)
-
Option smiling when investors' estimates of asset volatility disagree
Lin, Chien-chih, (2014)
- More ...
-
A Note on Essential Smoothness in the Heston Model
Jacquier, Antoine (Jack), (2013)
-
Small-Time Asymptotics for Implied Volatility Under a General Local-Stochastic Volatility Model
Forde, Martin, (2012)
-
The Large Maturity Smile for the Heston Model
Forde, Martin, (2012)
- More ...