Numerical Studies on Asymptotics of European Option Under Multiscale Stochastic Volatility
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DOI: 10.1007/s11009-017-9553-8
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- Peter Christoffersen & Steven Heston & Kris Jacobs, 2009.
"The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well,"
Management Science, INFORMS, vol. 55(12), pages 1914-1932, December.
- Peter Christoffersen & Steven Heston & Kris Jacobs, 2009. "The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well," CREATES Research Papers 2009-34, Department of Economics and Business Economics, Aarhus University.
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Keywords
Financial market; Mean reversion volatility; Asymptotic expansion; Stochastic volatilities; Regular perturbation; Singular perturbation; European option;All these keywords.
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