Asymptotic formulae for implied volatility in the Heston model

作者：Forde Martin; Jacquier Antoine^*; Mijatovic Aleksandar

来源：Proceedings of the Royal Society A-Mathematical Physical and Engineering Sciences, 2010, 466(2124): 3593-3620.

DOI：10.1098/rspa.2009.0610

• implied volatility
• Heston model
• saddlepoint expansions
• closed-form formula
• asymptotics

In this paper, we prove an approximate formula expressed in terms of elementary functions for the implied volatility in the Heston model. The formula consists of the constant and first-order terms in the large maturity expansion of the implied volatility function. The proof is based on saddlepoint methods and classical properties of holomorphic functions.

• 出版日期2010-12-8