Fangwei Shi

Imperial College London

South Kensington Campus

Exhibition Road

London, Greater London SW7 2AZ

United Kingdom

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The Randomised Heston Model

Number of pages: 35 Posted: 27 Aug 2016 Last Revised: 06 Dec 2018
Antoine (Jack) Jacquier and Fangwei Shi
Imperial College London and Imperial College London
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Citation 4

Abstract:

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Stochastic volatility, large deviations, Heston, implied volatility, asymptotic expansion