Small-time asymptotics for implied volatility under the heston model

International Journal of Theoretical and Applied Finance

Volumn 12, Issue 6, 2009, Pages 861-876

  Forde, Martin ^a   Jacquier, Antoine ^b,c  

^a DUBLIN CITY UNIVERSITY   (Ireland)

^b IMPERIAL COLLEGE LONDON   (United Kingdom)

^c Zeliade Systems   (France)

Author keywords

Heston; Implied volatility asymptotics; Large deviation; Small time behavior

Indexed keywords

EID: 70450170235     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S021902490900549X     Document Type: Article

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