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Large-Maturity Regimes of the Heston Forward Smile
File(s)
1410.7206v1.pdf (513.39 KB)
Working paper
Author(s)
Jacquier, A
Roome, P
Type
Report
Date Issued
2015-11-30
URI
DOI
Is Replaced By
Copyright Statement
© 2014 The Authors
License URL
Description
22.12.14 KB. Ok to add working paper, author retains copyright
Identifier
http://arxiv.org/abs/1410.7206v1
Notes
30 pages, 16 figures