THE TERM STRUCTURE OF IMPLIED VOLATILITY IN SYMMETRIC MODELS WITH APPLICATIONS TO HESTON

DOI10.1142/S0219024912500264zbMath1246.91125OpenAlexW3124260964MaRDI QIDQ2909510

No author found.

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

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

Related Items (1)

The Randomized Heston Model

Uses Software

• Mathematica

Cites Work

• Unnamed Item
• Symmetric martingales and symmetric smiles
• Moment explosions in stochastic volatility models
• A note of invariant measures for HJM models
• Asymptotic formulae for implied volatility in the Heston model
• MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
• REGULAR VARIATION AND SMILE ASYMPTOTICS
• SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
• PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Completely monotonic functions
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• Convergence of Heston to SVI
• On refined volatility smile expansion in the Heston model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

This page was built for publication: THE TERM STRUCTURE OF IMPLIED VOLATILITY IN SYMMETRIC MODELS WITH APPLICATIONS TO HESTON