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

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Year of publication:	2011
Authors:	Gatheral, Jim
Other Persons:	Jacquier, Antoine (Jack) (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Wirtschaftliche Konvergenz \| Economic convergence \| Stochastischer Prozess \| Stochastic process \| EU-Staaten \| EU countries

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Extent:	1 Online-Ressource (5 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Quantitative Finance, Vol. 11, No. 8, pp. 1129-1132, 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 18, 2010 erstellt
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; C60 - Mathematical Methods and Programming. General ; C63 - Computational Techniques
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013133883