Asymptotic Formulae for Implied Volatility in the Heston Model

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

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Year of publication:	2012
Authors:	Forde, Martin
Other Persons:	Jacquier, Antoine (Jack) (contributor) ; Mijatovic, Aleksandar (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Optionsgeschäft \| Option trading

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Extent:	1 Online-Ressource (25 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Proceedings of the Royal Society A Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 16, 2009 erstellt
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; C6 - Mathematical Methods and Programming
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013116644