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"Short-Term At-the-Money Asymptotics under Stochastic Volatility Models."

Omar El Euch et al. (2019)

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DOI: 10.1137/18M1167565

access: closed

type: Journal Article

metadata version: 2019-08-08

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  - https://dblp.org/rec/journals/siamfm/EuchFGR19
Omar El Euch, Masaaki Fukasawa, Jim Gatheral, Mathieu Rosenbaum:
Short-Term At-the-Money Asymptotics under Stochastic Volatility Models. SIAM J. Financial Math. 10(2): 491-511 (2019)

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