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

Jean-Pierre Fouque, Matthew J. Lorig (2011)

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DOI: 10.1137/090761458

access: closed

type: Journal Article

metadata version: 2017-05-17

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Jean-Pierre Fouque, Matthew J. Lorig:
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model. SIAM J. Financial Math. 2(1): 221-254 (2011)

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