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Asymptotic expansion for characteristic function in Heston stochastic volatility model with fast mean-reverting correction

In this note, we derive the characteristic function expansion for logarithm of the underlying asset price in corrected Heston model as proposed by Fouque and Lorig.
Year of publication:
2013-10
Authors: Agarwal, Ankush
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10010699793
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