The large-maturity smile for the SABR and CEV-Heston models
Year of publication: |
2013
|
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Authors: | Forde, Martin ; Pogudin, Andrey |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 8, p. 1-20
|
Subject: | SABR model | Brownian exponential functional | CEV model | large deviations | Heston model | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
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