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Asymptotic formulae for implied volatility in the Heston Model

Research output: Contribution to journalArticlepeer-review

M. Forde, A. Jacquier, A. Mijatovic

Original languageEnglish
Pages (from-to)3593 - 3620
Number of pages28
JournalRoyal Society of London. Proceedings A. Mathematical, Physical and Engineering Sciences
Volume466
Issue number2124
Published8 Dec 2010

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