Convergence of Heston to SVI
In this short note, we prove by an appropriate change of variables that the SVI implied volatility parameterization presented in Gatheral's book and the large-time asymptotic of the Heston implied volatility agree algebraically, thus confirming a conjecture from Gatheral as well as providing a simpler expression for the asymptotic implied volatility in the Heston model. We show how this result can help in interpreting SVI parameters.
Year of publication: |
2010-02
|
---|---|
Authors: | Gatheral, Jim ; Jacquier, Antoine |
Institutions: | arXiv.org |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Arbitrage-free SVI volatility surfaces
Gatheral, Jim, (2012)
-
Gatheral, Jim, (2011)
-
Arbitrage-free SVI volatility surfaces
Gatheral, Jim, (2014)
- More ...