Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration

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Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration

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ژورنال

عنوان ژورنال: SSRN Electronic Journal

سال: 2012

ISSN: 1556-5068

DOI: 10.2139/ssrn.2137900