Large-maturity regimes of the Heston forward smile

Author:

Jacquier AntoineORCID,Roome Patrick

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference59 articles.

1. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility;Alòs;Finance Stoch.,2007

2. Asymptotics for exponential Lévy processes and their volatility smile: survey and new results;Andersen;Int. J. Theor. Appl. Finance,2013

3. Moment explosions in stochastic volatility models;Andersen;Finance Stoch.,2007

4. On deviations of the sample mean;Bahadur;Ann. Math. Statist.,1960

5. P. Balland, Forward smile, in: Global Derivatives Conference, 2006.

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