The Small-Maturity Heston Forward Smile
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References listed on IDEAS
- Aleksandar Mijatovi'c & Peter Tankov, 2012. "A new look at short-term implied volatility in asset price models with jumps," Papers 1207.0843, arXiv.org, revised Jul 2012.
- J. D. Deuschel & P. K. Friz & A. Jacquier & S. Violante, 2011. "Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations," Papers 1111.2462, arXiv.org, revised May 2013.
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- Elisa Alos & Antoine Jacquier & Jorge Leon, 2017. "The implied volatility of Forward-Start options: ATM short-time level, skew and curvature," Papers 1710.11232, arXiv.org.
- Omar El Euch & Mathieu Rosenbaum, 2016. "The characteristic function of rough Heston models," Papers 1609.02108, arXiv.org.
- Archil Gulisashvili, 2014. "Distance to the line in the Heston model," Papers 1409.6027, arXiv.org.
- 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.
- Antoine Jacquier & Patrick Roome, 2014. "Large-Maturity Regimes of the Heston Forward Smile," Papers 1410.7206, arXiv.org, revised Aug 2015.
- Antoine Jacquier & Fangwei Shi, 2016. "The randomised Heston model," Papers 1608.07158, arXiv.org, revised Apr 2017.
- Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
- Hamza Guennoun & Antoine Jacquier & Patrick Roome & Fangwei Shi, 2014. "Asymptotic behaviour of the fractional Heston model," Papers 1411.7653, arXiv.org, revised Aug 2017.
- Oliver Pfante & Nils Bertschinger, 2016. "Uncertainty Estimates in the Heston Model via Fisher Information," Papers 1610.04760, arXiv.org, revised Oct 2016.
- repec:spr:decfin:v:40:y:2017:i:1:d:10.1007_s10203-017-0197-5 is not listed on IDEAS
- Dan Pirjol & Jing Wang & Lingjiong Zhu, 2017. "Short Maturity Forward Start Asian Options in Local Volatility Models," Papers 1710.03160, arXiv.org.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-23 (All new papers)
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