Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model

Jin Feng, Martin Forde, Jean-Pierre Fouque. Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model. SIAM J. Financial Math., 1(1):126-141, 2010. [doi]

Abstract

Abstract is missing.