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

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

doi:10.1007/s00780-012-0197-9

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

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

School of Business

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	223-224
Number of pages	2
Journal	Finance and Stochastics
Volume	17
Issue number	1
DOIs	https://doi.org/10.1007/s00780-012-0197-9
State	Published - Jan 2013

Keywords

Heston model
Tail probabilities

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10.1007/s00780-012-0197-9

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title = "Correction note for 'The large-maturity smile for the Heston model'",

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).",

keywords = "Heston model, Tail probabilities",

author = "Carole Bernard and Zhenyu Cui and Martin Forde and Antoine Jacquier and Don McLeish and Aleksandar Mijatovi{\'c}",

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doi = "10.1007/s00780-012-0197-9",

language = "English",

volume = "17",

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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

UR - https://www.scopus.com/pages/publications/84871388935

UR - https://www.scopus.com/pages/publications/84871388935#tab=citedBy

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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 -

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

Abstract

Keywords

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