Short-maturity asymptotics for a fast mean-reverting heston stochastic volatility model

SIAM Journal on Financial Mathematics

Volumn 1, Issue 1, 2010, Pages 126-141

  Feng, Jin ^a   Forde, Martin ^b   Fouque, Jean Pierre ^c  

^a UNIVERSITY OF KANSAS   (United States)

^b TRINITY COLLEGE DUBLIN   (Ireland)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Heston model; Implied volatility smile skew; Large deviation principle; Multiscale asymptotics; Stochastic volatility

Indexed keywords

EID: 78649933969     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/090745465     Document Type: Article

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