Time dependent heston model

SIAM Journal on Financial Mathematics

Volumn 1, Issue 1, 2010, Pages 289-325

  Benhamou, E ^a   Gobet, E ^b   Miri, M ^a  

^a Pricing Partners   (France)

^b UNIV GRENOBLE ALPES   (France)

Author keywords

Asymptotic expansion; Malliavin calculus; Small volatility of volatility; Time dependent Heston model

Indexed keywords

EID: 78649845651     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/090753814     Document Type: Article

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