Economy – Quantitative Finance – Pricing of Securities
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.
Convergence of Heston to SVI does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.If you have personal experience with Convergence of Heston to SVI, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Convergence of Heston to SVI will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-363028