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Small-time asymptotics for implied volitility under the Heston model
Forde, Martin; Jacquier, Antoine - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 861-876
Persistent link: https://www.econbiz.de/10003911247
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Exact pricing and large-time asymptotics for the modified SABR model and the Brownian exponential functional
Forde, Martin - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 559-578
Persistent link: https://www.econbiz.de/10009269355
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The large-maturity smile for the SABR and CEV-Heston models
Forde, Martin; Pogudin, Andrey - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-20
Persistent link: https://www.econbiz.de/10010243621
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Asymptotic arbitrage in the Heston model
Haba, Fatma; Jacquier, Antoine - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-18
Persistent link: https://www.econbiz.de/10011419412