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The large-maturity smile for the Heston model

Author

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  • Martin Forde

  • Antoine Jacquier

Abstract

The papers (Forde and Jacquier in Finance Stoch. 15:755–780, 2011 ; Forde et al. in Finance Stoch. 15:781–784, 2011 ) study large-time behaviour of the price process in the Heston model. This note corrects typos in Forde and Jacquier (Finance Stoch. 15:755–780, 2011 ), Forde et al. (Finance Stoch. 15:781–784, 2011 ) and clarifies the proof of Forde et al. (Finance Stoch. 15:781–784, 2011 , Proposition 2.3). Copyright Springer-Verlag 2013
(This abstract was borrowed from another version of 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

    as
    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. S. Benaim & P. Friz, 2009. "Regular Variation And Smile Asymptotics," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 1-12, January.
    3. P. Friz & S. Gerhold & A. Gulisashvili & S. Sturm, 2010. "On refined volatility smile expansion in the Heston model," Papers 1001.3003, arXiv.org, revised Nov 2010.
    4. Leif Andersen & Vladimir Piterbarg, 2007. "Moment explosions in stochastic volatility models," Finance and Stochastics, Springer, vol. 11(1), pages 29-50, January.
    5. Jim Gatheral & Antoine Jacquier, 2011. "Convergence of Heston to SVI," Quantitative Finance, Taylor & Francis Journals, vol. 11(8), pages 1129-1132.
    6. Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv.
    7. 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.
    8. Martin Forde & Antoine Jacquier, 2009. "Small-Time Asymptotics For Implied Volatility Under The Heston Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(06), pages 861-876.
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    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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