Dublin City University - Department of Mathematical Sciences
volatility swaps, Heston model, Asian options, calibration
Essential smoothness, large deviation principle, Heston model
Implied volatility asymptotics, Heston, large deviation, small-time behavior
local volatility, stochastic volatility, asymptotics, differential geometry, Freidlin-Wentzell theory
Heston model, asymptotics, smile, large deviations, calibration
implied volatility, Heston model, closed-form formula, saddlepoint approximation, calibration
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