create a website

The large-maturity smile for the Stein–Stein model. (2014). Forde, Martin.
In: Statistics & Probability Letters.
RePEc:eee:stapro:v:91:y:2014:i:c:p:145-152.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 20

References cited by this document

Cocites: 31

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Dembo, A. ; Zeitouni, O. Large Deviations Techniques and Applications. 1998 Jones and Bartlet Publishers: Boston
    Paper not yet in RePEc: Add citation now
  2. Deuschel, J.D. ; Friz, P.K. ; Jacquier, A. ; Violante, S. Marginal density expansions for diffusions and stochastic volatility, part II: applications. 2014 Comm. Pure Appl. Math.. 67 321-350
    Paper not yet in RePEc: Add citation now
  3. Donsker, M.D. ; Varadhan, S.R.S. Asymptotic evaluation of Markov process expectations for large time, III. 1976 Comm. Pure Appl. Math.. 29 389-461
    Paper not yet in RePEc: Add citation now
  4. Forde, M. Exact pricing and large-time asymptotics for the modified SABR model and the Brownian exponential functional. 2011 Int. J. Theor. Appl. Finance. 14 1-19

  5. Forde, M. Large-time asymptotics for an uncorrelated stochastic volatility model. 2011 Statist. Probab. Lett.. 81 1230-1232

  6. Forde, M. ; Jacquier, A. The large-maturity smile for the Heston model. 2011 Finance Stoch.. 15 755-780

  7. Forde, M. ; Jacquier, A. ; Mijatović, A. Asymptotic formulae for implied volatility in the Heston model. 2010 Proc. R. Soc. A. 466 3593-3620

  8. Forde, M. ; Pogudin, A. The large-maturity smile for the SABR and CEV-Heston models. 2013 Int. J. Theor. Appl. Finance. 16 -

  9. Gao, K., Lee, R., 2011. Asymptotics of implied volatility to arbitrary order. Preprint.
    Paper not yet in RePEc: Add citation now
  10. Gatheral, J. ; Jacquier, A. Convergence of Heston to SVI. 2011 Quant. Finance. 11 1129-1132

  11. Gulisashvili, A. ; Stein, E.M. Asymptotic behavior of distribution densities in models with stochastic volatility, I. 2010 Math. Finance. 20 447-477
    Paper not yet in RePEc: Add citation now
  12. Jacquier, A. ; Keller-Ressel, M. ; Mijatović, A. Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models. 2013 Stochastics. 85 321-345

  13. Jacquier, A. ; Keller-Ressel, M. ; Mijatović, A. Large deviations for the extended Heston model: the large-time case. 2013 Asia-Pac. Financ. Mark.. -

  14. Karatzas, I. ; Shreve, S. Brownian Motion and Stochastic Calculus. 1991 Springer-Verlag:
    Paper not yet in RePEc: Add citation now
  15. Lukacs, E. Characteristic Functions, Vol. 4. 1970 Griffin: London
    Paper not yet in RePEc: Add citation now
  16. Pinsky, R. On evaluating the Donsker–Varadhan I-function. 1985 Ann. Probab.. 13 342-362
    Paper not yet in RePEc: Add citation now
  17. Rogers, L.C.G. ; Tehranchi, M. Can the implied volatility surface move by parallel shifts?. 2010 Finance Stoch.. 14 235-248

  18. Schöbel, R. ; Zhu, J. Stochastic volatility with an Ornstein–Uhlenbeck process: an extension. 1999 Eur. Finance Rev.. 3 23-46
    Paper not yet in RePEc: Add citation now
  19. Stein, E. ; Stein, J. Stock price distributions with stochastic volatility: an analytic approach. 1991 Rev. Financ. Stud.. 4 -

  20. Stroock, D.W. An Introduction to the Theory of Large Deviations. 1984 Springer-Verlag: Berlin
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Simulating integrated Volterra square-root processes and Volterra Heston models via Inverse Gaussian. (2025). Attal, Elie ; Jaber, Eduardo Abi.
    In: Papers.
    RePEc:arx:papers:2504.19885.

    Full description at Econpapers || Download paper

  2. Simulation of square-root processes made simple: applications to the Heston model. (2024). Jaber, Eduardo Abi.
    In: Post-Print.
    RePEc:hal:journl:hal-04839193.

    Full description at Econpapers || Download paper

  3. Reconciling rough volatility with jumps. (2024). de Carvalho, Nathan ; Jaber, Eduardo Abi.
    In: Post-Print.
    RePEc:hal:journl:hal-04295416.

    Full description at Econpapers || Download paper

  4. Simulation of square-root processes made simple: applications to the Heston model. (2024). Jaber, Eduardo Abi.
    In: Papers.
    RePEc:arx:papers:2412.11264.

    Full description at Econpapers || Download paper

  5. Reconciling rough volatility with jumps. (2024). de Carvalho, Nathan ; Jaber, Eduardo Abi.
    In: Papers.
    RePEc:arx:papers:2303.07222.

    Full description at Econpapers || Download paper

  6. Small‐time, large‐time, and H→0 asymptotics for the Rough Heston model. (2021). Gerhold, Stefan ; Forde, Martin ; Smith, Benjamin.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:31:y:2021:i:1:p:203-241.

    Full description at Econpapers || Download paper

  7. Asymptotic Smiles for an Affine Jump-Diffusion Model. (2020). Li, Zhiqiu ; Ling, Zhichao ; Yao, Nian.
    In: Papers.
    RePEc:arx:papers:2003.00334.

    Full description at Econpapers || Download paper

  8. Asymptotics of the time-discretized log-normal SABR model: The implied volatility surface. (2020). Zhu, Lingjiong ; Pirjol, Dan.
    In: Papers.
    RePEc:arx:papers:2001.09850.

    Full description at Econpapers || Download paper

  9. Small-time, large-time and $H\to 0$ asymptotics for the Rough Heston model. (2020). Gerhold, Stefan ; Forde, Martin ; Smith, Benjamin.
    In: Papers.
    RePEc:arx:papers:1906.09034.

    Full description at Econpapers || Download paper

  10. The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework. (2019). Pagliarani, Stefano ; Nicolato, Elisa ; Barletta, Andrea.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:29:y:2019:i:3:p:928-966.

    Full description at Econpapers || Download paper

  11. Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing. (2018). Tankov, Peter ; Krief, David ; Alfonsi, Aur'Elien.
    In: Papers.
    RePEc:arx:papers:1806.06883.

    Full description at Econpapers || Download paper

  12. Pathwise moderate deviations for option pricing. (2018). Spiliopoulos, Konstantinos ; Jacquier, Antoine.
    In: Papers.
    RePEc:arx:papers:1803.04483.

    Full description at Econpapers || Download paper

  13. The randomised Heston model. (2018). Jacquier, Antoine ; Shi, Fangwei.
    In: Papers.
    RePEc:arx:papers:1608.07158.

    Full description at Econpapers || Download paper

  14. Estimation of the realized (co-)volatility vector: Large deviations approach. (2017). Samoura, Yacouba ; Djellout, Hacene ; Guillin, Arnaud.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:127:y:2017:i:9:p:2926-2960.

    Full description at Econpapers || Download paper

  15. Black-Scholes in a CEV random environment. (2017). Jacquier, Antoine ; Roome, Patrick .
    In: Papers.
    RePEc:arx:papers:1503.08082.

    Full description at Econpapers || Download paper

  16. Asymptotic behaviour of the fractional Heston model. (2017). Jacquier, Antoine ; Roome, Patrick ; Guennoun, Hamza .
    In: Papers.
    RePEc:arx:papers:1411.7653.

    Full description at Econpapers || Download paper

  17. Explicit Density Approximations for Local Volatility Models Using Heat Kernel Expansions. (2016). Taylor, Stephen ; Glasgow, Scott ; Vecer, Jan.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:18:y:2016:i:3:d:10.1007_s11009-015-9463-6.

    Full description at Econpapers || Download paper

  18. Large-maturity regimes of the Heston forward smile. (2016). Jacquier, Antoine ; Roome, Patrick .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:126:y:2016:i:4:p:1087-1123.

    Full description at Econpapers || Download paper

  19. Large-Maturity Regimes of the Heston Forward Smile. (2015). Jacquier, Antoine ; Roome, Patrick .
    In: Papers.
    RePEc:arx:papers:1410.7206.

    Full description at Econpapers || Download paper

  20. Large Deviations for the Extended Heston Model: The Large-Time Case. (2014). Jacquier, Antoine ; Mijatovi, Aleksandar.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:21:y:2014:i:3:p:263-280.

    Full description at Econpapers || Download paper

  21. The large-maturity smile for the Stein–Stein model. (2014). Forde, Martin.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:91:y:2014:i:c:p:145-152.

    Full description at Econpapers || Download paper

  22. Closed Form Solution for Heston PDE By Geometrical Transformations. (2014). Dell'Era, Mario ; Dellera, Mario.
    In: Asian Economic and Financial Review.
    RePEc:asi:aeafrj:2014:p:793-807.

    Full description at Econpapers || Download paper

  23. The G\{a}rtner-Ellis theorem, homogenization, and affine processes. (2014). Teichmann, Josef ; Gulisashvili, Archil.
    In: Papers.
    RePEc:arx:papers:1406.3716.

    Full description at Econpapers || Download paper

  24. Implied volatility of basket options at extreme strikes. (2014). TANKOV, PETER ; Gulisashvili, Archil.
    In: Papers.
    RePEc:arx:papers:1406.0394.

    Full description at Econpapers || Download paper

  25. The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles. (2014). Brigo, Damiano ; Rapisarda, Francesco ; Sridi, Abir.
    In: Papers.
    RePEc:arx:papers:1302.7010.

    Full description at Econpapers || Download paper

  26. Asymptotic and non asymptotic approximations for option valuation. (2012). Gobet, Emmanuel ; Bompis, Romain .
    In: Post-Print.
    RePEc:hal:journl:hal-00720650.

    Full description at Econpapers || Download paper

  27. Large deviations for the extended Heston model: the large-time case. (2012). Jacquier, Antoine ; Mijatovic, Aleksandar.
    In: Papers.
    RePEc:arx:papers:1203.5020.

    Full description at Econpapers || Download paper

  28. The Small and Large Time Implied Volatilities in the Minimal Market Model. (2011). Platen, Eckhard ; Guo, Zhi.
    In: Research Paper Series.
    RePEc:uts:rpaper:297.

    Full description at Econpapers || Download paper

  29. The Small and Large Time Implied Volatilities in the Minimal Market Model. (2011). Platen, Eckhard ; Guo, Zhi.
    In: Papers.
    RePEc:arx:papers:1109.6154.

    Full description at Econpapers || Download paper

  30. Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models. (2011). Jacquier, Antoine ; Keller-Ressel, Martin ; Mijatovic, Aleksandar.
    In: Papers.
    RePEc:arx:papers:1108.3998.

    Full description at Econpapers || Download paper

  31. Implied Volatility Surface: Construction Methodologies and Characteristics. (2011). Homescu, Cristian .
    In: Papers.
    RePEc:arx:papers:1107.1834.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-04 07:12:32 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.