Convergence of Heston to SVI
File(s)
Accepted version
Author(s)
Gatheral, J
Jacquier, A
Type
Journal Article
Abstract
In this short note, we prove by an appropriate change of variables that the
SVI implied volatility parameterization presented in Gatheral's book and the
large-time asymptotic of the Heston implied volatility agree algebraically,
thus confirming a conjecture from Gatheral as well as providing a simpler
expression for the asymptotic implied volatility in the Heston model. We show
how this result can help in interpreting SVI parameters.
SVI implied volatility parameterization presented in Gatheral's book and the
large-time asymptotic of the Heston implied volatility agree algebraically,
thus confirming a conjecture from Gatheral as well as providing a simpler
expression for the asymptotic implied volatility in the Heston model. We show
how this result can help in interpreting SVI parameters.
Date Issued
2010-02-18
Citation
Quantitative Finance, 2010, 8 (11), pp.1129-1132
ISSN
1469-7688
Publisher
ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
Start Page
1129
End Page
1132
Journal / Book Title
Quantitative Finance
Volume
8
Issue
11
Copyright Statement
© 2011 Taylor & Francis. ‘This is an Author's Original Manuscript of an article whose final and definitive form, the Version of Record, has been published in the Quantitatve Finance, 2011. © Taylor & Francis, available online at: http://www.tandfonline.com/10.1080/14697688.2010.550931."
Description
28/06/13 MEB. Accepted version, Ok to pub.
Identifier
http://arxiv.org/abs/1002.3633v1
Publication Status
Unpublished