On the asymptotics of fast mean-reversion stochastic volatility models

International Journal of Theoretical and Applied Finance

Volumn 10, Issue 5, 2007, Pages 817-835

  Souza, Max O ^a   Zubelli, Jorge P ^b  

^a FLUMINENSE FEDERAL UNIVERSITY   (Brazil)

^b IMPA   (Brazil)

Author keywords

Asymptotics; Stochastic volatility models; Vol vol

Indexed keywords

EID: 34548072570     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024907004445     Document Type: Article

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