arXiv 1002.36332010-02-18q-fin.PRq-fin.CP

Convergence of Heston to SVI

Jim Gatheral, Antoine Jacquier

备注：: 5 pages

英文摘要：

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.

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