Mathematical modeling

Asymptotic representation in stochastic volatility models

K. Buslova


Abstract: The asymptotic estimation of the density function at infinity, proved earlier for the case of the one-factor model, is generalized to the case of the multidimentional Heston model. The proof is based on the affinity of the Heston model, the Mellin transform, and the evaluation of the obtained integrals using the pass method.

Keywords: asymptotic formula for the stock of an option, multidimensional Heston model, Mellin transform

UDC: 517.955

DOI: 10.25587/2411-9326-2025-1-100-101