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Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion
Armstrong, John, Forde, Martin, Lorig, Matthew, Zhang, HongzhongVolume:
8
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/140971397
Date:
January, 2017
File:
PDF, 406 KB
english, 2017