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"Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic ..."

Jin Feng, Martin Forde, Jean-Pierre Fouque (2010)

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DOI: 10.1137/090745465

access: closed

type: Journal Article

metadata version: 2017-05-17

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Jin Feng, Martin Forde, Jean-Pierre Fouque:
Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model. SIAM J. Financial Math. 1(1): 126-141 (2010)

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