Large-maturity regimes of the Heston forward smile (Q5965371)
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scientific article; zbMATH DE number 6549082
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| English | Large-maturity regimes of the Heston forward smile |
scientific article; zbMATH DE number 6549082 |
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Large-maturity regimes of the Heston forward smile (English)
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3 March 2016
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Heston model
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large deviations
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stochastic volatility
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forward implied volatility
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asymptotic expansion
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0.9227607250213624
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0.9176841974258424
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0.8886833786964417
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0.8583851456642151
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0.8557291626930237
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