The large-maturity smile for the Heston model
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 15 (2011)
Issue (Month): 4 (December)
Contact details of provider:
Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- 60G - - - - - -
- 91B - - - - - -
- 91B - - - - - -
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Jim Gatheral & Antoine Jacquier, 2011.
"Convergence of Heston to SVI,"
Taylor & Francis Journals, vol. 11(8), pages 1129-1132.
- Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, July.
- 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.
- S. Benaim & P. Friz, 2009. "Regular Variation And Smile Asymptotics," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 1-12.
- Romain Bompis & Emmanuel Gobet, 2012. "Asymptotic and non asymptotic approximations for option valuation," Post-Print hal-00720650, HAL.
- 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.
- Antoine Jacquier & Aleksandar Mijatovic, 2012. "Large deviations for the extended Heston model: the large-time case," Papers 1203.5020, arXiv.org.
- 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.
- Zhi Jun Guo & Eckhard Platen, 2012. "The Small And Large Time Implied Volatilities In The Minimal Market Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1250057-1-1.
- 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.
- 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.
- Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).
If references are entirely missing, you can add them using this form.