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Small-time asymptotics for fast mean-reverting stochastic volatility models
Small-time asymptotics fast mean-reverting stochastic volatility models
2010/10/21
In this paper, we study stochastic volatility models in regimes where the maturity is small but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the...
Small-Time Asymptotics of Option Prices and First Absolute Moments
option price absolute moment small-time asymptotics approximation
2010/10/20
We study the leading term in the small-time asymptotics of at-the-money call option prices when the stock price process $S$ follows a general martingale. This is equivalent to studying the first cent...