Show simple item record

dc.contributor.authorFeng, Jin
dc.contributor.authorForde, Martin
dc.contributor.authorFouque, Jean-Pierre
dc.date.accessioned2015-02-18T21:24:18Z
dc.date.available2015-02-18T21:24:18Z
dc.date.issued2010-02-10
dc.identifier.citationFeng, 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.urihttp://hdl.handle.net/1808/16713
dc.descriptionThis is the published version, also available here: http://dx.doi.org/10.1137/090745465.en_US
dc.description.abstractIn 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.publisherSociety for Industrial and Applied Mathematicsen_US
dc.titleShort-maturity asymptotics for a fast mean reverting stochastic volatility modelen_US
dc.typeArticle
kusw.kuauthorFeng, Jin
kusw.kudepartmentMathematicsen_US
dc.identifier.doi10.1137/090745465
kusw.oaversionScholarly/refereed, publisher version
kusw.oapolicyThis item meets KU Open Access policy criteria.
dc.rights.accessrightsopenAccess


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record