The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model

DOI10.1137/110830241zbMath1273.91461OpenAlexW2039661648MaRDI QIDQ4902231

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Publication date: 25 January 2013

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://kclpure.kcl.ac.uk/portal/en/publications/the-smalltime-smile-and-term-structure-of-implied-volatility-under-the-heston-model(35b58d60-4202-4c94-a675-eefc2a357329).html

zbMATH Keywords

asymptoticscalibrationimplied volatilityHeston modelsaddlepoint expansion

Mathematics Subject Classification ID

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