BibTex format
@article{Forde:2012,
author = {Forde, M and Lee, R},
journal = {SIAM Journal of Financial Mathematics},
title = {The small-time smile and term structure of implied volatility under the Heston model},
year = {2012}
}
Citation
RIS format (EndNote, RefMan)
TY - JOUR
AB - We characterise the asymptotic smile and term structure of implied volatility in the Heston modelat small maturities. Using saddlepoint methods we derive a small-maturity expansion formula for call optionprices, which we then transform into a closed-form expansion (including the leading-order and correction terms)for implied volatility. This refined expansion reveals the relationship between the small-expiry smile and allHeston parameters (including the pair in the volatility drift coefficient), sharpening the leading-order resultof [Forde, Jacquier, `Small-time asymptotics for implied volatility under the Heston model', IJTAF, 12(6): 861-876, 2009] which found the relationship between the zero-expiry smile and the diffusion coefficients.
AU - Forde,M
AU - Lee,R
PY - 2012///
TI - The small-time smile and term structure of implied volatility under the Heston model
T2 - SIAM Journal of Financial Mathematics
ER -
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