TY - JOUR
T1 - Correction note for 'The large-maturity smile for the Heston model'
AU - Bernard, Carole
AU - Cui, Zhenyu
AU - Forde, Martin
AU - Jacquier, Antoine
AU - McLeish, Don
AU - Mijatović, Aleksandar
PY - 2013/1
Y1 - 2013/1
N2 - The papers (Forde and Jacquier in Finance Stoch. 15:755-780, 2011; Forde et al. in Finance Stoch. 15:781-784, 2011) study large-time behaviour of the price process in the Heston model. This note corrects typos in Forde and Jacquier (Finance Stoch. 15:755-780, 2011), Forde et al. (Finance Stoch. 15:781-784, 2011) and clarifies the proof of Forde et al. (Finance Stoch. 15:781-784, 2011, Proposition 2.3).
AB - The papers (Forde and Jacquier in Finance Stoch. 15:755-780, 2011; Forde et al. in Finance Stoch. 15:781-784, 2011) study large-time behaviour of the price process in the Heston model. This note corrects typos in Forde and Jacquier (Finance Stoch. 15:755-780, 2011), Forde et al. (Finance Stoch. 15:781-784, 2011) and clarifies the proof of Forde et al. (Finance Stoch. 15:781-784, 2011, Proposition 2.3).
KW - Heston model
KW - Tail probabilities
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U2 - 10.1007/s00780-012-0197-9
DO - 10.1007/s00780-012-0197-9
M3 - Article
AN - SCOPUS:84871388935
SN - 0949-2984
VL - 17
SP - 223
EP - 224
JO - Finance and Stochastics
JF - Finance and Stochastics
IS - 1
ER -