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Short-maturity asymptotics for a fast mean reverting stochastic volatility model
dc.contributor.author | Feng, Jin | |
dc.contributor.author | Forde, Martin | |
dc.contributor.author | Fouque, Jean-Pierre | |
dc.date.accessioned | 2015-02-18T21:24:18Z | |
dc.date.available | 2015-02-18T21:24:18Z | |
dc.date.issued | 2010-02-10 | |
dc.identifier.citation | Feng, Jin., Forde, Martin., Fouque, Jean-Pierre. "Short maturity asymptotics for a fast mean reverting stochastic volatility model." SIAM Journal on Financial Mathematics. (2010) 1, 1. 126-141. http://www.dx.doi.org/10.1137/090745465. | en_US |
dc.identifier.uri | http://hdl.handle.net/1808/16713 | |
dc.description | This is the published version, also available here: http://dx.doi.org/10.1137/090745465. | en_US |
dc.description.abstract | In this paper, we study the Heston stochastic volatility model in a regime where the maturity is small but large compared to the mean-reversion time of the stochastic volatility factor. We derive a large deviation principle and compute the rate function by a precise study of the moment generating function and its asymptotic. We then obtain asymptotic prices for out-of-the-money call and put options and their corresponding implied volatilities. | en_US |
dc.publisher | Society for Industrial and Applied Mathematics | en_US |
dc.title | Short-maturity asymptotics for a fast mean reverting stochastic volatility model | en_US |
dc.type | Article | |
kusw.kuauthor | Feng, Jin | |
kusw.kudepartment | Mathematics | en_US |
dc.identifier.doi | 10.1137/090745465 | |
kusw.oaversion | Scholarly/refereed, publisher version | |
kusw.oapolicy | This item meets KU Open Access policy criteria. | |
dc.rights.accessrights | openAccess |