THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS

THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS

Large-time asymptotics are established for the SABR model with β = 1, ρ ≤ 0 and β < 1, ρ = 0. We also compute large-time asymptotics for the constant elasticity of variance (CEV) model in the large-time, fixed-strike regime and a new large-time, large-strike regime, and for the uncorrelated CEV-H...

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Veröffentlicht in:International journal of theoretical and applied finance 2013-12, Vol.16 (8), p.1350047-1350047
Hauptverfasser: FORDE, MARTIN, POGUDIN, ANDREY
Format: Artikel
Sprache:eng
Schlagworte:
Estimation
Maturity
Strikes
Volatility
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Zusammenfassung:Large-time asymptotics are established for the SABR model with β = 1, ρ ≤ 0 and β < 1, ρ = 0. We also compute large-time asymptotics for the constant elasticity of variance (CEV) model in the large-time, fixed-strike regime and a new large-time, large-strike regime, and for the uncorrelated CEV-Heston model. Finally, we translate these results into a large-time estimates for implied volatility using the recent work of Gao and Lee (2011) and Tehranchi (2009).
ISSN:0219-0249
1793-6322
DOI:10.1142/S0219024913500477