The large-maturity smile for the SABR and CEV-Heston models
نویسندگان
چکیده
Large-time asymptotics are established for the SABR model with β = 1, ρ ≤ 0 and β < 1, ρ = 0. We also compute large-time asymptotics for the CEV model in the largetime, fixed-strike regime and a new large-time, large-strike regime, and for the uncorrelated CEV-Heston model. Finally, we translate these results into a large-time estimates for implied volatility using the recent work of Gao&Lee[GL11] and Tehranchi[Teh09].
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تاریخ انتشار 2013