On refined volatility smile expansion in the Heston model
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Publication:5300441
DOI10.1080/14697688.2010.541486zbMath1267.91068arXiv1001.3003OpenAlexW2054646230MaRDI QIDQ5300441
Peter K. Friz, Stefan Gerhold, Stephan Sturm, Archil Gulisashvili
Publication date: 27 June 2013
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1001.3003
Related Items (23)
ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE ⋮ THE TERM STRUCTURE OF IMPLIED VOLATILITY IN SYMMETRIC MODELS WITH APPLICATIONS TO HESTON ⋮ Two-Sided Estimates for Distribution Densities in Models with Jumps ⋮ Extrapolation Analytics for Dupire’s Local Volatility ⋮ Asymptotic Expansion Approach in Finance ⋮ On Singularities in the Heston Model ⋮ Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options ⋮ Local Volatility, Conditioned Diffusions, and Varadhan's Formula ⋮ Shapes of Implied Volatility with Positive Mass at Zero ⋮ From Moment Explosion to the Asymptotic Behavior of the Cumulative Distribution for a Random Variable ⋮ Asymptotics of implied volatility to arbitrary order ⋮ The large-maturity smile for the Heston model ⋮ Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations ⋮ Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications ⋮ Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models ⋮ The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications ⋮ Large-maturity regimes of the Heston forward smile ⋮ Moment explosions in the rough Heston model ⋮ Difference Equation Theory Meets Mathematical Finance ⋮ Generalized Arbitrage-Free SVI Volatility Surfaces ⋮ How to make Dupire’s local volatility work with jumps ⋮ Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models ⋮ Asymptotics of Forward Implied Volatility
Cites Work
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