The term structure of implied volatility in symmetric models with applications to Heston

DOI10.1142/S0219024912500264MaRDI QIDQ2909510zbMATH OpenOpenAlexFDO

Authors S. De Marco, C. Martini

Publication date 30 August 2012

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024912500264

zbMATH Keywords

term structureimplied volatilityHestonreal-valued functionsSVIsymmetric smile

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with continuous parameter (60G44)

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• General smile asymptotics with bounded maturity

Cites work

• scientific article; zbMATH DE number 3425963 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A note of invariant measures for HJM models
• Asymptotic formulae for implied volatility in the Heston model
• Completely monotonic functions
• Convergence of Heston to SVI
• Moment explosions and long-term behavior of affine stochastic volatility models
• Moment explosions in stochastic volatility models
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• On refined volatility smile expansion in the Heston model
• Put-call symmetry: extensions and applications
• REGULAR VARIATION AND SMILE ASYMPTOTICS
• SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
• Symmetric martingales and symmetric smiles
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES

Cited in

(6)

• The randomized Heston model
• scientific article; zbMATH DE number 2095958 (Why is no real title available?)
• A novel term-structure-based Heston model for implied volatility surface
• Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles
• Implied volatility functions in arbitrage-free term structure models.
• Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm

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Uses Software

• Mathematica

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