Record link: 
http://hdl.handle.net/20.500.12708/141779
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Title: 
Small-time, large-time and H→0 asymptotics for the rough Heston model
en
Citation: 
Forde, M., Gerhold, S., & Smith, B. (2020). Small-time, large-time and H→0 asymptotics for the rough Heston model. Mathematical Finance, 31(1), 203–241. https://doi.org/10.1111/mafi.12290
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Publisher DOI: 
10.1111/mafi.12290
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Publication Type: 
Article - Original Research Article
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Language: 
English
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Authors: 
Forde, Martin 
Gerhold, Stefan 
Smith, Benjamin 
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Organisational Unit: 
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik 
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Journal: 
Mathematical Finance 
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ISSN: 
0960-1627
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Date (published): 
2020
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Number of Pages: 
39
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Publisher: 
WILEY
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Peer reviewed: 
Yes
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Keywords: 
Applied Mathematics; Social Sciences (miscellaneous); Economics and Econometrics; Accounting; Finance
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Research Areas: 
Mathematical Methods in Economics: 100%
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Science Branch: 
Mathematik
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