Convergence of Heston to SVI
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- Martin Forde & Antoine Jacquier & Aleksandar Mijatovic, 2009. "Asymptotic formulae for implied volatility in the Heston model," Papers 0911.2992, arXiv.org, revised May 2010.
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- repec:wsi:ijtafx:v:16:y:2013:i:08:n:s0219024913500477 is not listed on IDEAS
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-03-06 (All new papers)
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