Asymptotic expansion for characteristic function in Heston stochastic volatility model with fast mean-reverting correction
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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- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-43.
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