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

DOI10.1142/S0219024912500264zbMATH Open1246.91125OpenAlexW3124260964MaRDI QIDQ2909510FDOQ2909510

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

Recommendations

• The small-time smile and term structure of implied volatility under the Heston model
• Asymptotic formulae for implied volatility in the Heston model
• SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
• Large-maturity regimes of the Heston forward smile
• General smile asymptotics with bounded maturity

zbMATH Keywords

term structureimplied volatilityHestonreal-valued functionsSVIsymmetric smile

Mathematics Subject Classification ID

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

Cites Work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Title not available (Why is that?)
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Completely monotonic functions
• Moment explosions in stochastic volatility models
• Moment explosions and long-term behavior of affine stochastic volatility models
• SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
• A note of invariant measures for HJM models
• Put-call symmetry: extensions and applications
• Symmetric martingales and symmetric smiles
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• Asymptotic formulae for implied volatility in the Heston model
• REGULAR VARIATION AND SMILE ASYMPTOTICS
• On refined volatility smile expansion in the Heston model
• Convergence of Heston to SVI

Cited In (6)

• The randomized Heston model
• Title not available (Why is that?)
• 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

Uses Software

• Mathematica

This page was built for publication: The term structure of implied volatility in symmetric models with applications to Heston

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2909510)