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]

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