Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
Crossref DOI link: https://doi.org/10.1007/s00780-020-00422-7
Published Online: 2020-05-08
Published Print: 2020-07
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Hambly, Ben
Kolliopoulos, Nikolaos
Text and Data Mining valid from 2020-05-08
Version of Record valid from 2020-05-08
Article History
Received: 21 December 2018
Accepted: 17 January 2020
First Online: 8 May 2020