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arXiv.org
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Centre for Research into Industry, Enterprise, Finance and the Firm (CRIEFF), University of St. Andrews
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Institut für Schweizerisches Bankwesen <Zürich>
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Asymptotic expansion for characteristic function in Heston stochastic volatility model with fast mean-reverting correction
Agarwal, Ankush
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arXiv.org
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2013
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.
Persistent link: https://www.econbiz.de/10010699793
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