Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
Abstract Abstract We add some rigour to the work of Henry-Labordère (2009 Henry-Labordère, P. 2009. Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing, New York, London: Chapman & Hall. [Google Scholar]; Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing (London and New York: Chapman …