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The large-maturity smile for the Heston model

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  • 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. Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, July.
  2. Jim Gatheral & Antoine Jacquier, 2010. "Convergence of Heston to SVI," Papers 1002.3633, arXiv.org.
  3. S. Benaim & P. Friz, 2009. "Regular Variation And Smile Asymptotics," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 1-12.
  4. 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.
  5. 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.
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Citations

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Cited by:
  1. Romain Bompis & Emmanuel Gobet, 2012. "Asymptotic and non asymptotic approximations for option valuation," Post-Print hal-00720650, HAL.
  2. 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.
  3. Zhi Guo & Eckhard Platen, 2011. "The Small and Large Time Implied Volatilities in the Minimal Market Model," Papers 1109.6154, arXiv.org, revised Oct 2011.
  4. Antoine Jacquier & Aleksandar Mijatovic, 2012. "Large deviations for the extended Heston model: the large-time case," Papers 1203.5020, arXiv.org.
  5. Forde, Martin, 2014. "The large-maturity smile for the Stein–Stein model," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 145-152.
  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.
  7. Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
  8. Archil Gulisashvili & Josef Teichmann, 2014. "The G\"{a}rtner-Ellis theorem, homogenization, and affine processes," Papers 1406.3716, arXiv.org.
  9. Archil Gulisashvili & Peter Tankov, 2014. "Implied volatility of basket options at extreme strikes," Papers 1406.0394, arXiv.org.

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