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Convergence of Heston to SVI

Citations

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Cited by:

  1. Jacquier, Antoine & Roome, Patrick, 2016. "Large-maturity regimes of the Heston forward smile," Stochastic Processes and their Applications, Elsevier, vol. 126(4), pages 1087-1123.
  2. Itkin, Andrey, 2015. "To sigmoid-based functional description of the volatility smile," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 264-291.
  3. Fan, Qingqian & Feng, Sixian, 2022. "An empirical study on the characterization of implied volatility and pricing in the Chinese option market," Finance Research Letters, Elsevier, vol. 49(C).
  4. Forde, Martin, 2014. "The large-maturity smile for the Stein–Stein model," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 145-152.
  5. Martin Forde & Andrey Pogudin, 2013. "The Large-Maturity Smile For The Sabr And Cev-Heston Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(08), pages 1-20.
  6. David Berger & Ian Dew-Becker & Stefano Giglio, 2020. "Uncertainty Shocks as Second-Moment News Shocks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(1), pages 40-76.
  7. Hadrien de March & Pierre Henry-Labordere, 2019. "Building Arbitrage-Free Implied Volatility: Sinkhorn'S Algorithm And Variants," Working Papers hal-02011533, HAL.
  8. Elisa Alòs & Rafael De Santiago & Josep Vives, 2015. "Calibration Of Stochastic Volatility Models Via Second-Order Approximation: The Heston Case," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(06), pages 1-31.
  9. Martin Forde & Stefan Gerhold & Benjamin Smith, 2021. "Small‐time, large‐time, and H→0 asymptotics for the Rough Heston model," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 203-241, January.
  10. Stefano Giglio & Ian Dew-Becker & David Berger, 2016. "Contractionary Volatility or Volatile Contractions?," 2016 Meeting Papers 673, Society for Economic Dynamics.
  11. Hadrien De March & Pierre Henry-Labordere, 2019. "Building arbitrage-free implied volatility: Sinkhorn's algorithm and variants," Papers 1902.04456, arXiv.org, revised Jul 2023.
  12. Xu, Wei & Šević, Aleksandar & Šević, Željko, 2022. "Implied volatility surface construction for commodity futures options traded in China," Research in International Business and Finance, Elsevier, vol. 61(C).
  13. Claude Martini & Arianna Mingone, 2021. "Explicit no arbitrage domain for sub-SVIs via reparametrization," Papers 2106.02418, arXiv.org.
  14. repec:hal:wpaper:hal-03715921 is not listed on IDEAS
  15. Jim Gatheral & Antoine Jacquier, 2014. "Arbitrage-free SVI volatility surfaces," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 59-71, January.
  16. Mnacho Echenim & Emmanuel Gobet & Anne-Claire Maurice, 2022. "Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes," Papers 2207.02989, arXiv.org.
  17. Antoine Jacquier & Aleksandar Mijatović, 2014. "Large Deviations for the Extended Heston Model: The Large-Time Case," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(3), pages 263-280, September.
  18. Tahar Ferhati, 2020. "Robust Calibration For SVI Model Arbitrage Free," Working Papers hal-02490029, HAL.
  19. Martin Forde & Antoine Jacquier, 2011. "The large-maturity smile for the Heston model," Finance and Stochastics, Springer, vol. 15(4), pages 755-780, December.
  20. Tahar Ferhati, 2020. "SVI Model Free Wings," Working Papers hal-02517572, HAL.
  21. Florence Guillaume & Wim Schoutens, 2014. "Heston Model: The Variance Swap Calibration," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 76-89, April.
  22. Chun Yat Yeung & Ali Hirsa, 2022. "Saddle-Point Approach to Large-Time Volatility Smile," Papers 2212.05671, arXiv.org.
  23. J. D. Deuschel & P. K. Friz & A. Jacquier & S. Violante, 2013. "Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model]," Papers 1305.6765, arXiv.org.
  24. Andrew Na & Meixin Zhang & Justin Wan, 2023. "Computing Volatility Surfaces using Generative Adversarial Networks with Minimal Arbitrage Violations," Papers 2304.13128, arXiv.org, revised Dec 2023.
  25. J. D. Deuschel & P. K. Friz & A. Jacquier & S. Violante, 2011. "Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations," Papers 1111.2462, arXiv.org, revised May 2013.
  26. Mnacho Echenim & Emmanuel Gobet & Anne-Claire Maurice, 2023. "Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes," Post-Print hal-03715921, HAL.
  27. Shuzhen Yang & Wenqing Zhang, 2023. "Fixed-point iterative algorithm for SVI model," Papers 2301.07830, arXiv.org.
  28. Mehdi El Amrani & Antoine Jacquier & Claude Martini, 2019. "Dynamics of symmetric SSVI smiles and implied volatility bubbles," Papers 1909.10272, arXiv.org, revised Feb 2021.
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