Moment Explosions and Asymptotic Behavior of the Stock Price Distribution in Heston Model

Details Moment Explosions and Asymptotic Behavior of the Stock Price Distribution in Heston Model Moment Explosions and Asymptotic Behavior of the Stock Price Distribution in Heston Model

2012-03-19

arxiv.org/abs/1203.4213v3

Mathematics

Probability

Scientific paper

We study the asymptotic behavior of the cumulative distribution an arbitrary
combination of the CIR process and its time average and the stock price in
Heston model. We find an asymptotic formulas for the cumulative distributions
of these distributions and obtain a sharp asymptotic formulas for the implied
volatility in the Heston model.

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