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Asymptotic expansion
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Malliavin calculus
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Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model
Nagashima, Kazuki
;
Chung, Tsz-Kin
;
Tanaka, Keiichi
- In:
Asia-Pacific Financial Markets
21
(
2014
)
4
,
pp. 351-396
surface and
variance
swap
rates. Moreover, the two-factor model is able to reproduce the shapes of the implied volatility …
Persistent link: https://www.econbiz.de/10010989076
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