Asymptotic formulae for implied volatility in the Heston model
AbstractIn this paper we prove an approximate formula expressed in terms of elementary functions for the implied volatility in the Heston model. The formula consists of the constant and first order terms in the large maturity expansion of the implied volatility function. The proof is based on saddlepoint methods and classical properties of holomorphic functions.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0911.2992.
Date of creation: Nov 2009
Date of revision: May 2010
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- NEP-ALL-2009-11-21 (All new papers)
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- Zhi Guo & Eckhard Platen, 2011.
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