THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS

Large-time asymptotics are established for the SABR model with β = 1, ρ ≤ 0 and β < 1, ρ = 0. We also compute large-time asymptotics for the constant elasticity of variance (CEV) model in the large-time, fixed-strike regime and a new large-time, large-strike regime, and for the uncorrelated CEV-Heston model. Finally, we translate these results into a large-time estimates for implied volatility using the recent work of Gao and Lee (2011) and Tehranchi (2009).

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Year of publication:	2013
Authors:	FORDE, MARTIN ; POGUDIN, ANDREY
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 16.2013, 08, p. 1350047-1
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	SABR model \| Brownian exponential functional \| CEV model \| large deviations \| Heston model

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011011289