Convergence of Heston to SVI

Jim Gatheral and Antoine Jacquier ()

Papers from arXiv.org

Abstract: In this short note, we prove by an appropriate change of variables that the SVI implied volatility parameterization presented in Gatheral's book and the large-time asymptotic of the Heston implied volatility agree algebraically, thus confirming a conjecture from Gatheral as well as providing a simpler expression for the asymptotic implied volatility in the Heston model. We show how this result can help in interpreting SVI parameters.

Date: 2010-02
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1002.3633

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