The large-maturity smile for the Heston model
type: Item
instance of: scholarly article
title: The large-maturity smile for the Heston model
zbMATH Open document ID: 1303.91174
author: Martin Forde
author: Antoine Jacquier
published in: Finance and Stochastics
publication date: 2014-12-18T00:00:00Z
full work available at URL: the-largematurity-smile-for-the-heston-model(3037cdb2-449b-416a-8f64-b47b16a7af79).html
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60F10
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 6381571
zbMATH Keywords: implied volatility
zbMATH Keywords: Heston
zbMATH Keywords: asymptotics
zbMATH Keywords: large deviations
MaRDI profile type: Publication
OpenAlex ID: W2032158145
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DOI: 10.1007/S00780-010-0147-3
description: scientific article; zbMATH DE number 6381571