The Heston Riemannian distance function
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References listed on IDEAS
- Martin Forde & Antoine Jacquier & Aleksandar Mijatovic, 2009. "Asymptotic formulae for implied volatility in the Heston model," Papers 0911.2992, arXiv.org, revised May 2010.
- Martin Forde & Antoine Jacquier, 2011. "Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(6), pages 517-535, April.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-02 (All new papers)
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