A note on essential smoothness in the Heston model

Martin Forde (), Antoine Jacquier () and Aleksandar Mijatović ()

Finance and Stochastics, 2011, vol. 15, issue 4, 784 pages

Keywords: Essential smoothness; Large deviation principle; Heston model; 60G44; 91B70; 91B25; C02; C63; G12; G13 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s00780-011-0162-z

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