Browse "Dept. of Industrial and Systems Engineering(산업및시스템공학과)" by Subject Implied volatility▼aasymptotics▼aWishart stochastic volatility▼asmall-time behavior▼alarge deviation▼asaddlepoint expansion▼acalibration
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| Small-time asymptotics for implied volatility under the multifactor volatility Heston model = 다인자 헤스턴 확률변동성에 기반한 단기 내재 변동성 점근근사link Kim, Younghoon; Kim, Kyoung-Kuk; et al, 한국과학기술원, 2018 |
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