Correction note for ‘The large-maturity smile for the Heston model’

The papers (Forde and Jacquier in Finance Stoch. 15:755–780, 2011 ; Forde et al. in Finance Stoch. 15:781–784, 2011 ) study large-time behaviour of the price process in the Heston model. This note corrects typos in Forde and Jacquier (Finance Stoch. 15:755–780, 2011 ), Forde et al. (Finance Stoch. 1...

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Veröffentlicht in:	Finance and stochastics 2013, Vol.17 (1), p.223-224
Hauptverfasser:	Bernard, Carole, Cui, Zhenyu, Forde, Martin, Jacquier, Antoine, McLeish, Don, Mijatović, Aleksandar
Format:	Artikel
Sprache:	eng
Schlagworte:	Economic theory Economic Theory/Quantitative Economics/Mathematical Methods Economics Finance Insurance Management Mathematics Mathematics and Statistics Prices Probability Theory and Stochastic Processes Quantitative Finance Statistics for Business Stochastic models
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Beschreibung
Zusammenfassung:	The papers (Forde and Jacquier in Finance Stoch. 15:755–780, 2011 ; Forde et al. in Finance Stoch. 15:781–784, 2011 ) study large-time behaviour of the price process in the Heston model. This note corrects typos in Forde and Jacquier (Finance Stoch. 15:755–780, 2011 ), Forde et al. (Finance Stoch. 15:781–784, 2011 ) and clarifies the proof of Forde et al. (Finance Stoch. 15:781–784, 2011 , Proposition 2.3).
ISSN:	0949-2984 1432-1122
DOI:	10.1007/s00780-012-0197-9