The Small-Maturity Heston Forward Smile
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Publication:2873151
DOI10.1137/13091703XzbMath1283.91177arXiv1303.4268OpenAlexW3121632361MaRDI QIDQ2873151
Patrick Roome, Antoine Jacquier
Publication date: 23 January 2014
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1303.4268
Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (10)
Asymptotic Behavior of the Fractional Heston Model ⋮ Black-Scholes in a CEV random environment ⋮ The implied volatility of Forward-Start options: ATM short-time level, skew and curvature ⋮ Weighted average price in the Heston stochastic volatility model ⋮ Distance to the line in the Heston model ⋮ The Randomized Heston Model ⋮ The characteristic function of rough Heston models ⋮ Large-maturity regimes of the Heston forward smile ⋮ Short Maturity Forward Start Asian Options in Local Volatility Models ⋮ Asymptotics of Forward Implied Volatility
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