Asymptotic expansion for characteristic function in Heston stochastic volatility model with fast mean-reverting correction
arXiv:1310.3572
Abstract
In this note, we derive the characteristic function expansion for logarithm of the underlying asset price in corrected Heston model as proposed by Fouque and Lorig.
6 pages. arXiv admin note: text overlap with arXiv:1007.4366 by other authors