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

Martin Forde () and Andrey Pogudin ()
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Martin Forde: Department of Mathematics, King's College London, Strand, London, WC2R 2LS, United Kingdom
Andrey Pogudin: Department of Mathematics, King's College London, Strand, London, WC2R 2LS, United Kingdom

International Journal of Theoretical and Applied Finance (IJTAF), 2013, vol. 16, issue 08, 1-20

Abstract: Large-time asymptotics are established for the SABR model with β = 1, ρ ≤ 0 and β

Keywords: SABR model; Brownian exponential functional; CEV model; large deviations; Heston model (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (8)

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DOI: 10.1142/S0219024913500477

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