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The large-maturity smile for the Heston model

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Author Info

  • Martin Forde

    ()

  • Antoine Jacquier

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s00780-010-0147-3
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Bibliographic Info

Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 15 (2011)
Issue (Month): 4 (December)
Pages: 755-780

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Handle: RePEc:spr:finsto:v:15:y:2011:i:4:p:755-780

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Web page: http://www.springerlink.com/content/101164/

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Related research

Keywords: Implied volatility; Heston; Asymptotics; Large deviations; 60G44; 91B70; 91B25; C02; C63; G12; G13;

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References

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  1. H. Berestycki & J. Busca & I. Florent, 2002. "Asymptotics and calibration of local volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 61-69.
  2. Jim Gatheral & Antoine Jacquier, 2010. "Convergence of Heston to SVI," Papers 1002.3633, arXiv.org.
  3. Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, July.
  4. Robertson, Scott, 2010. "Sample path Large Deviations and optimal importance sampling for stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 120(1), pages 66-83, January.
  5. S. Benaim & P. Friz, 2009. "Regular Variation And Smile Asymptotics," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 1-12.
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Citations

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Cited by:
  1. Zhi Guo & Eckhard Platen, 2011. "The Small and Large Time Implied Volatilities in the Minimal Market Model," Research Paper Series 297, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Antoine Jacquier & Aleksandar Mijatovic, 2012. "Large deviations for the extended Heston model: the large-time case," Papers 1203.5020, arXiv.org.
  3. Antoine Jacquier & Martin Keller-Ressel & Aleksandar Mijatovic, 2011. "Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models," Papers 1108.3998, arXiv.org.
  4. Romain Bompis & Emmanuel Gobet, 2012. "Asymptotic and non asymptotic approximations for option valuation," Post-Print hal-00720650, HAL.
  5. Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
  6. Damiano Brigo & Francesco Rapisarda & Abir Sridi, 2013. "The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles," Papers 1302.7010, arXiv.org.

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