The large-maturity smile for the Heston model
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Publication:484212
DOI10.1007/s00780-010-0147-3zbMath1303.91174OpenAlexW2032158145MaRDI QIDQ484212
Antoine Jacquier, Martin Forde
Publication date: 18 December 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://kclpure.kcl.ac.uk/portal/en/publications/the-largematurity-smile-for-the-heston-model(3037cdb2-449b-416a-8f64-b47b16a7af79).html
Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (26)
Calibration and simulation of Heston model ⋮ Large deviations for the extended Heston model: the large-time case ⋮ ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE ⋮ Asymptotics of Implied Volatility far from Maturity ⋮ Asymptotic Behavior of the Fractional Heston Model ⋮ Black-Scholes in a CEV random environment ⋮ Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model ⋮ Implied Volatility of Basket Options at Extreme Strikes ⋮ The Gärtner-Ellis Theorem, Homogenization, and Affine Processes ⋮ Estimation of the realized (co-)volatility vector: large deviations approach ⋮ Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\) ⋮ Small‐time, large‐time, and asymptotics for the Rough Heston model ⋮ Correction note for ``The large-maturity smile for the Heston model ⋮ Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions ⋮ Small-Time smile for the multifactor volatility heston model ⋮ The large-maturity smile for the Stein-Stein model ⋮ A note on essential smoothness in the Heston model ⋮ Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation ⋮ THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS ⋮ Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models ⋮ The Randomized Heston Model ⋮ Weighted least-squares estimation for the subcritical Heston process ⋮ Large-maturity regimes of the Heston forward smile ⋮ Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing ⋮ Asymptotics of Forward Implied Volatility ⋮ The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
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