The large-maturity smile for the Heston model (Q484212)

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The large-maturity smile for the Heston model
scientific article

    Statements

    title
    The large-maturity smile for the Heston model (English)
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    author
    Martin Forde
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    Antoine Jacquier
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    publication date
    18 December 2014
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    zbMATH Keywords
    implied volatility
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    Heston
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    asymptotics
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    large deviations
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    cites work
    Q4391441
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    Q4225410
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    Q3530675
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    Q4942767
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    Q4059363
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    Convex Analysis
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91B70
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    60H30
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    60F10
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    60G44
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    zbMATH DE Number
    6381571
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    OpenAlex ID
    W2032158145
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