Small-time asymptotics for implied volitility under the Heston model
Year of publication: |
2009
|
---|---|
Authors: | Forde, Martin ; Jacquier, Antoine |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 12.2009, 6, p. 861-876
|
Subject: | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
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