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In this study, we extend the multiscale stochastic volatility model of [Fouque J‐P, Lorig MJ, SIAM J Financial Math. 2011;2(1):221‐254] by incorporating a slow varying factor of volatility. The resulting model can be viewed as a multifactor extension of the Heston model with two additional factors driving the volatility levels. An asymptotic analysis consisting of singular and regular perturbation...
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