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Large Deviations for the Extended Heston Model: The Large-Time Case

Jacquier, Antoine; Mijatović, Aleksandar - In: Asia-Pacific Financial Markets 21 (2014) 3, pp. 263-280

We study here the large-time behaviour of all continuous affine stochastic volatility models [in the sense of Keller-Ressel (Math Finan 21(1):73–98, <CitationRef CitationID="CR14">2011</CitationRef>)] and deduce a closed-form formula for the large-maturity implied volatility smile. We concentrate on (rescaled) strikes around the money,...</citationref>

Persistent link: https://www.econbiz.de/10010989081

The large-maturity smile for the Heston model

Forde, Martin; Jacquier, Antoine - In: Finance and Stochastics 15 (2011) 4, pp. 755-780

Persistent link: https://www.econbiz.de/10009400214

Large deviations for the extended Heston model : the large-time case

Jacquier, Antoine; Mijatović, Aleksandar - In: Asia-Pacific financial markets 21 (2014) 3, pp. 263-280

Persistent link: https://www.econbiz.de/10010511579

Black-Scholes in a CEV random environment

Jacquier, Antoine; Roome, Patrick - In: Mathematics and financial economics 12 (2018) 3, pp. 445-474

Persistent link: https://www.econbiz.de/10011963872