Asymptotic Behavior of the Fractional Heston Model

SIAM Journal on Financial Mathematics 2018 / 01 Vol. 9; Iss. 3

Asymptotic Behavior of the Fractional Heston Model

Guennoun, Hamza, Jacquier, Antoine, Roome, Patrick, Shi, Fangwei
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Volume:
9
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/17M1142892
Date:
January, 2018
File:
PDF, 817 KB
english, 2018
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