Asymptotic formulae for implied volatility in the Heston model-Reference-Cited by-同舟云学术

Asymptotic formulae for implied volatility in the Heston model

Published:2010-06-02 Issue:2124 Volume:466 Page:3593-3620
ISSN:1364-5021
Container-title:Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences
language:en
Short-container-title:Proc. R. Soc. A.

Author:

Forde Martin¹,Jacquier Antoine²³,Mijatović Aleksandar²

Affiliation:

1. Department of Mathematical Sciences, Dublin City University, Republic of Ireland

2. Department of Mathematics, Imperial College London

3. Zeliade Systems, Paris, France

Abstract

In this paper, we prove an approximate formula expressed in terms of elementary functions for the implied volatility in the Heston model. The formula consists of the constant and first-order terms in the large maturity expansion of the implied volatility function. The proof is based on saddlepoint methods and classical properties of holomorphic functions.

Publisher

The Royal Society

Subject

General Physics and Astronomy,General Engineering,General Mathematics

Link

https://royalsocietypublishing.org/doi/pdf/10.1098/rspa.2009.0610

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