Asymptotic expansion for characteristic function in Heston stochastic volatility model with fast mean-reverting correction
Computational Finance
2013-10-15 v1
Abstract
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.
Keywords
Cite
@article{arxiv.1310.3572,
title = {Asymptotic expansion for characteristic function in Heston stochastic volatility model with fast mean-reverting correction},
author = {Ankush Agarwal},
journal= {arXiv preprint arXiv:1310.3572},
year = {2013}
}
Comments
6 pages. arXiv admin note: text overlap with arXiv:1007.4366 by other authors