Convergence of Heston to SVI

DOI10.1080/14697688.2010.550931zbMath1267.91084arXiv1002.3633OpenAlexW3125927080MaRDI QIDQ5300439

Antoine Jacquier, Jim Gatheral

Publication date: 27 June 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.3633

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Uses Software

• Mathematica

Cites Work

• Unnamed Item
• Asymptotic formulae for implied volatility in the Heston model
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES