"Long-Time Large Deviations for the Multiasset Wishart Stochastic ..."

Aurélien Alfonsi, David Krief, Peter Tankov (2019)

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DOI: 10.1137/18M1197588

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type: Journal Article

metadata version: 2021-10-14

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Aurélien Alfonsi, David Krief, Peter Tankov:
Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing. SIAM J. Financial Math. 10(4): 942-976 (2019)

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