Smile with the Gaussian term structure model
نویسندگان
چکیده
منابع مشابه
The Small-time Smile and Term Structure of Implied Volatility under the Heston Model
We characterise the asymptotic smile and term structure of implied volatility in the Heston model at small maturities. Using saddlepoint methods we derive a small-maturity expansion formula for call option prices, 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...
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The purpose of this project is to extend the Heston model in order to incorporate the term structure (TS) of the implied volatility surface. This includes implementing a TS within the Heston model and its calibration to a set of market instruments. The TS Heston model with piecewise constant parameters is implemented to match the TS and the COS pricing method is used for fast option pricing. We...
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ژورنال
عنوان ژورنال: The Journal of Computational Finance
سال: 2016
ISSN: 1460-1559
DOI: 10.21314/jcf.2016.328