Correction note for ``The large-maturity smile for the Heston model

DOI10.1007/s00780-012-0197-9zbMath1309.91138MaRDI QIDQ1936834

Carole Bernard, Martin Forde, Aleksandar Mijatović, Antoine Jacquier, Zhen-Yu Cui, Donald L. McLeish

Publication date: 7 February 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-012-0197-9

zbMATH Keywords

tail probabilities; Heston model

Mathematics Subject Classification ID

91B70: Stochastic models in economics

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G44: Martingales with continuous parameter

60F10: Large deviations

91G20: Derivative securities (option pricing, hedging, etc.)

Uses Software

• FeynHiggs

Cites Work

• The large-maturity smile for the Heston model
• A note on essential smoothness in the Heston model