کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1155455 958729 2016 37 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Large-maturity regimes of the Heston forward smile
ترجمه فارسی عنوان
رژیم های بزرگ بلوغ از لبخند پیش روی هشتم
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
چکیده انگلیسی

We provide a full characterisation of the large-maturity forward implied volatility smile in the Heston model. Although the leading decay is provided by a fairly classical large deviations behaviour, the algebraic expansion providing the higher-order terms highly depends on the parameters, and different powers of the maturity come into play. As a by-product of the analysis we provide new implied volatility asymptotics, both in the forward case and in the spot case, as well as extended SVI-type formulae. The proofs are based on extensions and refinements of sharp large deviations theory, in particular in cases where standard convexity arguments fail.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 126, Issue 4, April 2016, Pages 1087–1123
نویسندگان
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