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"Small-Time smile for the multifactor volatility heston model."

Dohyun Ahn, Kyoung-Kuk Kim, Younghoon Kim (2020)

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DOI: 10.1017/JPR.2020.63

access: closed

type: Journal Article

metadata version: 2020-12-03

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Dohyun Ahn, Kyoung-Kuk Kim, Younghoon Kim:
Small-Time smile for the multifactor volatility heston model. J. Appl. Probab. 57(4): 1070-1087 (2020)

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