Asymptotic analysis for stochastic volatility
Edgeworth expansion
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Date
2011-04Type
- Journal Article
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Electronic journal of probabilityVolume
Pages
Publisher
Institute of Mathematical StatisticsSubject
Ergodic diffusion; Fast mean reverting; Implied volatilityNotes
Submitted to EJP on 23 April 2010, Final version accepted 14 March 2011.More
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