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"Small-Time Asymptotics under Local-Stochastic Volatility with a ..."
John Armstrong et al. (2017)
- John Armstrong, Martin Forde, Matthew Lorig, Hongzhong Zhang:
Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion. SIAM J. Financial Math. 8(1): 82-113 (2017)
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