DC Field | Value | Language |
---|---|---|
dc.contributor.author | Ahn, Dohyun | ko |
dc.contributor.author | Kim, Kyoung-Kuk | ko |
dc.contributor.author | Kim, Younghoon | ko |
dc.date.accessioned | 2020-12-17T05:50:05Z | - |
dc.date.available | 2020-12-17T05:50:05Z | - |
dc.date.created | 2020-05-02 | - |
dc.date.created | 2020-05-02 | - |
dc.date.issued | 2020-12 | - |
dc.identifier.citation | JOURNAL OF APPLIED PROBABILITY, v.57, no.4, pp.1070 - 1087 | - |
dc.identifier.issn | 0021-9002 | - |
dc.identifier.uri | http://hdl.handle.net/10203/278597 | - |
dc.description.abstract | We extend the existing small-time asymptotics for implied volatilities under the Heston stochastic volatility model to the multifactor volatility Heston model, which is also known as the Wishart multidimensional stochastic volatility model (WMSV). More explicitly, we show that the approaches taken in Forde and Jacquier (2009) and Forde, Jacqiuer and Lee (2012) are applicable to the WMSV model under mild conditions, and obtain explicit small-time expansions of implied volatilities. | - |
dc.language | English | - |
dc.publisher | CAMBRIDGE UNIV PRESS | - |
dc.title | Small-time smile for the multifactor volatility Heston model | - |
dc.type | Article | - |
dc.identifier.wosid | 000591661900001 | - |
dc.identifier.scopusid | 2-s2.0-85096777152 | - |
dc.type.rims | ART | - |
dc.citation.volume | 57 | - |
dc.citation.issue | 4 | - |
dc.citation.beginningpage | 1070 | - |
dc.citation.endingpage | 1087 | - |
dc.citation.publicationname | JOURNAL OF APPLIED PROBABILITY | - |
dc.identifier.doi | 10.1017/jpr.2020.63 | - |
dc.contributor.localauthor | Kim, Kyoung-Kuk | - |
dc.contributor.nonIdAuthor | Ahn, Dohyun | - |
dc.contributor.nonIdAuthor | Kim, Younghoon | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Implied volatility | - |
dc.subject.keywordAuthor | Wishart process | - |
dc.subject.keywordAuthor | asymptotic expansion | - |
dc.subject.keywordAuthor | large deviation | - |
dc.subject.keywordAuthor | Laplace expansion | - |
dc.subject.keywordPlus | STOCHASTIC VOLATILITY | - |
dc.subject.keywordPlus | IMPLIED VOLATILITY | - |
dc.subject.keywordPlus | TERM STRUCTURE | - |
dc.subject.keywordPlus | TRANSFORM | - |
dc.subject.keywordPlus | OPTIONS | - |
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