Powered by OpenAIRE graph
Found an issue? Give us feedback
image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/ SSRN Electronic Jour...arrow_drop_down
image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/
SSRN Electronic Journal
Article
Data sources: UnpayWall
image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/
Finance and Stochastics
Article
Data sources: UnpayWall
image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao
Finance and Stochastics
Article . 2010 . Peer-reviewed
License: Springer TDM
Data sources: Crossref
image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao
zbMATH Open
Article . 2011
Data sources: zbMATH Open
SSRN Electronic Journal
Article . 2009 . Peer-reviewed
Data sources: Crossref
DBLP
Article . 2011
Data sources: DBLP
https://dx.doi.org/10.2139/ssr...
Other literature type
Data sources: Microsoft Academic Graph
https://dx.doi.org/10.1007/s00...
Article
Data sources: Microsoft Academic Graph
 View all 4 versions
Claim

The Large Maturity Smile for the Heston Model

The large-maturity smile for the Heston model
descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2009 United Kingdom English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068, Copyright policy )Publicly funded
Authors: Martin Forde; Antoine Jacquier;

doi: 10.2139/ssrn.1514080 , 10.1007/s00780-010-0147-3

The Large Maturity Smile for the Heston Model

Abstract

zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Country
United Kingdom
Related Organizations
View all View all
Keywords

Large deviations, Derivative securities (option pricing, hedging, etc.), asymptotics, Stochastic models in economics, Applications of stochastic analysis (to PDEs, etc.), Martingales with continuous parameter, implied volatility, large deviations, Heston

  • BIP!
    Impact byBIP!
    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 49
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 Top 10%
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    		 Top 10%
Powered by OpenAIRE graph
Found an issue? Give us feedback
selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
49
Top 10%
Top 10%
Top 10%
bronze