Asymptotic Behaviour of the Fractional Heston Model (2014)

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/10.2139/ssrn.2531468

Publication URI: http://dx.doi.org/10.2139/ssrn.2531468

Type: Journal Article/Review

Parent Publication: SSRN Electronic Journal