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Asymptotic expansion for characteristic function in Heston stochastic volatility model with fast mean-reverting correction

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  • Ankush Agarwal

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.

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  • Ankush Agarwal, 2013. "Asymptotic expansion for characteristic function in Heston stochastic volatility model with fast mean-reverting correction," Papers 1310.3572, arXiv.org.
    • Handle: RePEc:arx:papers:1310.3572
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    References listed on IDEAS

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    1. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
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