Small-time asymptotics for fast mean-reverting stochastic volatility models
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- Jos'e E. Figueroa-L'opez & Ruoting Gong & Christian Houdr'e, 2013. "Third-Order Short-Time Expansions for Close-to-the-Money Option Prices under the CGMY Model," Papers 1305.4719, arXiv.org, revised Nov 2017.
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