A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model

Published 2011 View Full Article

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Title
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
Authors
Keywords
-
Journal
SIAM Journal on Financial Mathematics
Volume 2, Issue 1, Pages 221-254
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Online
2011-03-10
DOI
10.1137/090761458

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