Small-Time smile for the multifactor volatility heston model
Keyword(s):
AbstractWe extend the existing small-time asymptotics for implied volatilities under the Heston stochastic volatility model to the multifactor volatility Heston model, which is also known as the Wishart multidimensional stochastic volatility model (WMSV). More explicitly, we show that the approaches taken in Forde and Jacquier (2009) and Forde, Jacqiuer and Lee (2012) are applicable to the WMSV model under mild conditions, and obtain explicit small-time expansions of implied volatilities.
2011 ◽
Vol 18
(6)
◽
pp. 517-535
◽
2019 ◽
Vol 22
(04)
◽
pp. 1950009
2017 ◽
Vol 20
(08)
◽
pp. 1750055
◽
2012 ◽
Vol 15
(05)
◽
pp. 1250033
◽
2008 ◽
Vol 40
(01)
◽
pp. 144-162
◽
2016 ◽
Vol 19
(05)
◽
pp. 1650031
◽
Keyword(s):
2012 ◽
Vol 22
(4)
◽
pp. 1541-1575
◽
2017 ◽
Vol 8
(1)
◽
pp. 82-113
◽
Keyword(s):
2005 ◽
Vol 2005
(3)
◽
pp. 307-322
◽