Asymptotic Behavior of the Fractional Heston Model (2018)

First Author: Guennoun H
Attributed to:  Asymptotics and dynamics of forward implied volatility funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1137/17m1142892

Publication URI: http://dx.doi.org/10.1137/17m1142892

Type: Journal Article/Review

Parent Publication: SIAM Journal on Financial Mathematics

Issue: 3