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The large-maturity smile for the Heston model


  • Martin Forde


  • Antoine Jacquier



No abstract is available for this item.

Suggested Citation

  • Martin Forde & Antoine Jacquier, 2011. "The large-maturity smile for the Heston model," Finance and Stochastics, Springer, vol. 15(4), pages 755-780, December.
  • Handle: RePEc:spr:finsto:v:15:y:2011:i:4:p:755-780
    DOI: 10.1007/s00780-010-0147-3

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    References listed on IDEAS

    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, 2011. "Convergence of Heston to SVI," Quantitative Finance, Taylor & Francis Journals, vol. 11(8), pages 1129-1132.
    3. Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, June.
    4. Martin Forde & Antoine Jacquier & Aleksandar Mijatovic, 2009. "Asymptotic formulae for implied volatility in the Heston model," Papers 0911.2992,, revised May 2010.
    5. S. Benaim & P. Friz, 2009. "Regular Variation And Smile Asymptotics," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 1-12.
    6. 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.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082,, revised Nov 2017.
    2. Forde, Martin, 2014. "The large-maturity smile for the Stein–Stein model," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 145-152.
    3. Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834,
    4. Zhi Guo & Eckhard Platen, 2011. "The Small and Large Time Implied Volatilities in the Minimal Market Model," Papers 1109.6154,, revised Oct 2011.
    5. Mario Dell’Era, 2014. "Closed Form Solution for Heston PDE By Geometrical Transformations," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(6), pages 793-807, June.
    6. Jacquier, Antoine & Roome, Patrick, 2016. "Large-maturity regimes of the Heston forward smile," Stochastic Processes and their Applications, Elsevier, vol. 126(4), pages 1087-1123.
    7. Antoine Jacquier & Fangwei Shi, 2016. "The randomised Heston model," Papers 1608.07158,, revised Apr 2017.
    8. Archil Gulisashvili & Peter Tankov, 2014. "Implied volatility of basket options at extreme strikes," Papers 1406.0394,
    9. Archil Gulisashvili & Josef Teichmann, 2014. "The G\"{a}rtner-Ellis theorem, homogenization, and affine processes," Papers 1406.3716,
    10. Damiano Brigo & Francesco Rapisarda & Abir Sridi, 2013. "The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles," Papers 1302.7010,, revised Sep 2014.
    11. Romain Bompis & Emmanuel Gobet, 2012. "Asymptotic and non asymptotic approximations for option valuation," Post-Print hal-00720650, HAL.
    12. Antoine Jacquier & Aleksandar Mijatović, 2014. "Large Deviations for the Extended Heston Model: The Large-Time Case," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(3), pages 263-280, September.
    13. repec:eee:spapps:v:127:y:2017:i:9:p:2926-2960 is not listed on IDEAS
    14. Hamza Guennoun & Antoine Jacquier & Patrick Roome & Fangwei Shi, 2014. "Asymptotic behaviour of the fractional Heston model," Papers 1411.7653,, revised Aug 2017.
    15. Antoine Jacquier & Martin Keller-Ressel & Aleksandar Mijatovic, 2011. "Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models," Papers 1108.3998,

    More about this item


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

    JEL classification:

    • 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


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