BibTex format
@article{Gatheral:2010,
author = {Gatheral, J and Jacquier, A},
journal = {Quantitative Finance},
pages = {1129--1132},
title = {Convergence of Heston to SVI},
url = {http://arxiv.org/abs/1002.3633v1},
volume = {8},
year = {2010}
}
Citation
RIS format (EndNote, RefMan)
TY - JOUR
AB - In this short note, we prove by an appropriate change of variables that theSVI implied volatility parameterization presented in Gatheral's book and thelarge-time asymptotic of the Heston implied volatility agree algebraically,thus confirming a conjecture from Gatheral as well as providing a simplerexpression for the asymptotic implied volatility in the Heston model. We showhow this result can help in interpreting SVI parameters.
AU - Gatheral,J
AU - Jacquier,A
EP - 1132
PY - 2010///
SP - 1129
TI - Convergence of Heston to SVI
T2 - Quantitative Finance
UR - http://arxiv.org/abs/1002.3633v1
UR - http://www.tandfonline.com/doi/abs/10.1080/14697688.2010.550931
UR - http://hdl.handle.net/10044/1/11571
VL - 8
ER -
Maths Finance Research
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