Large-maturity regimes of the Heston forward smile

DOI10.1016/j.spa.2015.10.012zbMath1336.60055arXiv1410.7206OpenAlexW1678001254MaRDI QIDQ5965371

Patrick Roome, Antoine Jacquier

Publication date: 3 March 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.7206

zbMATH Keywords

asymptotic expansionstochastic volatilitylarge deviationsforward implied volatilityHeston model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Large deviations (60F10) Financial applications of other theories (91G80)

Related Items (6)

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 ⋮ The characteristic function of rough Heston models ⋮ Weighted least-squares estimation for the subcritical Heston process ⋮ The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options

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