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 |
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| container_issue | 8 |
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| container_title | International journal of theoretical and applied finance |
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| creator | FORDE, MARTIN POGUDIN, ANDREY |
| description | 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). |
| doi_str_mv | 10.1142/S0219024913500477 |
| format | Article |
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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).</description><subject>Estimation</subject><subject>Maturity</subject><subject>Strikes</subject><subject>Volatility</subject><issn>0219-0249</issn><issn>1793-6322</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2013</creationdate><recordtype>article</recordtype><recordid>eNplkEtLw0AUhQdRsGh_gLss3UTnzjPBVWynD0gbSFLBVZhMJhBIm5ppEf-9CRU3XV0O5_vu4iD0BPgFgJHXDBMIMWEhUI4xk_IGTUCG1BeUkFs0GWt_7O_R1LmmxBAKyomgE_SWr5QXR-lS-Zso36Xr_NPLNutYeYsk9cYyi95TL9rOvZn68Fcqy5Ott0nmKs4e0V2tW2enf_cB7RYqn638OFmuZ1HsGyqk9DXnwC0rA0yHDBCw2uiQUU2ptFqQigoNZVgLU3Eug1CW2mAaEFzZgDBZ0Qf0fPl77Luvs3WnYt84Y9tWH2x3dgVwGMDBZQMKF9T0nXO9rYtj3-x1_1MALsatiqutBgdfnO-ubytnGns4NXVj_tVr5RcSt2Nl</recordid><startdate>201312</startdate><enddate>201312</enddate><creator>FORDE, MARTIN</creator><creator>POGUDIN, ANDREY</creator><general>World Scientific Publishing Company</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>201312</creationdate><title>THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS</title><author>FORDE, MARTIN ; POGUDIN, ANDREY</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c3677-a5515e4b8033671184fca943a337ea62d36a1b9f6cd557897bac03820de8247d3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2013</creationdate><topic>Estimation</topic><topic>Maturity</topic><topic>Strikes</topic><topic>Volatility</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>FORDE, MARTIN</creatorcontrib><creatorcontrib>POGUDIN, ANDREY</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>International journal of theoretical and applied finance</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>FORDE, MARTIN</au><au>POGUDIN, ANDREY</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS</atitle><jtitle>International journal of theoretical and applied finance</jtitle><date>2013-12</date><risdate>2013</risdate><volume>16</volume><issue>8</issue><spage>1350047</spage><epage>1350047</epage><pages>1350047-1350047</pages><issn>0219-0249</issn><eissn>1793-6322</eissn><abstract>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).</abstract><pub>World Scientific Publishing Company</pub><doi>10.1142/S0219024913500477</doi><tpages>1</tpages></addata></record> |
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| identifier | ISSN: 0219-0249 |
| ispartof | International journal of theoretical and applied finance, 2013-12, Vol.16 (8), p.1350047-1350047 |
| issn | 0219-0249 1793-6322 |
| language | eng |
| recordid | cdi_worldscientific_primary_S0219024913500477 |
| source | World Scientific Journals (Tsinghua Mirror); World Scientific Journals |
| subjects | Estimation Maturity Strikes Volatility |
| title | THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS |
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