Asymptotic formulae for implied volatility in the Heston...

Asymptotic formulae for implied volatility in the Heston model

Martin Forde, Antoine Jacquier and Aleksandar Mijatović
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Volume:
466
Language:
english
Journal:
Proceedings: Mathematical, Physical and Engineering Sciences
DOI:
10.2307/40998101
Date:
December, 2010
File:
PDF, 1.89 MB
english, 2010
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