A note on the essential smoothness in the Heston model
Please always quote using this URN:urn:nbn:de:0296-matheon-8538
- This note studies an issue relating to essential smoothness that can arise when the theory of large deviations is applied to a certain option pricing formula in the Heston model. The note identifies a gap, based on this issue, in the proof of Corollary 2.4 in [2] and describes how to circumvent it. This completes the proof of Corollary 2.4 in [2] and hence of the main result in [2], which describes the limiting behaviour of the implied volatility smile in the Heston model far from maturity.
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| Author: | Antoine Jacquier |
|---|---|
| URN: | urn:nbn:de:0296-matheon-8538 |
| Referee: | Peter Karl Friz |
| Document Type: | Preprint, Research Center Matheon |
| Language: | English |
| Date of first Publication: | 2011/06/21 |
| Release Date: | 2011/06/21 |
| Tag: | |
| Institute: | Technische Universität Berlin |
| MSC-Classification: | 60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) |
| Preprint Number: | 795 |
