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

Carole Bernard (), Zhenyu Cui (), Martin Forde (), Antoine Jacquier (), Don McLeish () and Aleksandar Mijatović ()

Finance and Stochastics, 2013, vol. 17, issue 1, 223-224

Abstract: 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). Copyright Springer-Verlag 2013

Keywords: Heston model; Tail probabilities; 60G44; 91B70; 91B25; C02; C63; G12; G13 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s00780-012-0197-9

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