@article{Jacquier:2016:10.1016/j.spa.2015.10.012,
author = {Jacquier, A and roome, PR},
doi = {10.1016/j.spa.2015.10.012},
journal = {Stochastic Processes and Their Applications},
pages = {1087--1123},
title = {Large-maturity regimes of the Heston forward smile},
url = {http://dx.doi.org/10.1016/j.spa.2015.10.012},
volume = {126},
year = {2016}
}

Download

TY  - JOUR
AB  - We provide a full characterisation of the large-maturity forward implied volatility smile in the Heston model. Although the leading decay is provided by a fairly classical large deviations behaviour, the algebraic expansion providing the higher-order terms highly depends on the parameters, and diff erent powers of the maturity come into play. As a by-product of the analysis we provide new implied volatility asymptotics, both in the forward case and in the spot case, as well as extended SVI-type formulae. The proofs are based on extensions and re finements of sharp large deviations theory, in particular in cases where standard convexity arguments fail.
AU  - Jacquier,A
AU  - roome,PR
DO  - 10.1016/j.spa.2015.10.012
EP  - 1123
PY  - 2016///
SN  - 0304-4149
SP  - 1087
TI  - Large-maturity regimes of the Heston forward smile
T2  - Stochastic Processes and Their Applications
UR  - http://dx.doi.org/10.1016/j.spa.2015.10.012
UR  - http://hdl.handle.net/10044/1/27704
VL  - 126
ER  - 

Download