Correction note for 'The large-maturity smile for the Heston model'

Carole Bernard, Zhenyu Cui, Martin Forde, Antoine Jacquier, Don McLeish, Aleksandar Mijatović

Research output: Contribution to journalArticlepeer-review

Abstract

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).

Original languageEnglish
Pages (from-to)223-224
Number of pages2
JournalFinance and Stochastics
Volume17
Issue number1
DOIs
StatePublished - Jan 2013

Keywords

  • Heston model
  • Tail probabilities

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