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THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS - MaRDI portal

THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS (Q5411743)

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scientific article; zbMATH DE number 6288161
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English
THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS
scientific article; zbMATH DE number 6288161

    Statements

    title
    THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS (English)
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    author
    Martin Forde
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    Andrey Pogudin
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    publication date
    25 April 2014
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    zbMATH Keywords
    SABR model
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    Brownian exponential functional
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    CEV model
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    large deviations
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    Heston model
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60H30
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    60F10
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    91B70
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    zbMATH DE Number
    6288161
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    OpenAlex ID
    W2125671257
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