The large-maturity smile for the Heston model
Year of publication: |
2011
|
---|---|
Authors: | Forde, Martin ; Jacquier, Antoine |
Published in: |
Finance and Stochastics. - Springer. - Vol. 15.2011, 4, p. 755-780
|
Publisher: |
Springer |
Subject: | Implied volatility | Heston | Asymptotics | Large deviations |
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