arXiv Open Access 2010

Convergence of Heston to SVI

Jim Gatheral Antoine Jacquier

Lihat Sumber

Abstrak

In this short note, we prove by an appropriate change of variables that the SVI implied volatility parameterization presented in Gatheral's book and the large-time asymptotic of the Heston implied volatility agree algebraically, thus confirming a conjecture from Gatheral as well as providing a simpler expression for the asymptotic implied volatility in the Heston model. We show how this result can help in interpreting SVI parameters.

Topik & Kata Kunci

q-fin.PR q-fin.CP

Penulis (2)

Jim Gatheral

Antoine Jacquier

Format Sitasi

APA MLA BibTeX

Gatheral, J., Jacquier, A. (2010). Convergence of Heston to SVI. https://arxiv.org/abs/1002.3633

Akses Cepat

Lihat di Sumber

Informasi Jurnal

Tahun Terbit: 2010
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓