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Correction note for ‘The large-maturity smile for the Heston model’

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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).

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References

  1. Forde, M., Jacquier, A.: The large-maturity smile for the Heston model. Finance Stoch. 15, 755–780 (2011)

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  2. Forde, M., Jacquier, A., Mijatović, A.: A note on essential smoothness in the Heston model. Finance Stoch. 15, 781–784 (2011)

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Authors and Affiliations

  1. Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Canada

    Carole Bernard, Zhenyu Cui & Don McLeish

  2. Department of Mathematics, King’s College London, London, UK

    Martin Forde

  3. Department of Mathematics, Imperial College London, London, UK

    Antoine Jacquier & Aleksandar Mijatović

Authors
  1. Carole Bernard
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  2. Zhenyu Cui
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  3. Martin Forde
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  4. Antoine Jacquier
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  5. Don McLeish
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  6. Aleksandar Mijatović
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Corresponding author

Correspondence to Antoine Jacquier.

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Bernard, C., Cui, Z., Forde, M. et al. Correction note for ‘The large-maturity smile for the Heston model’. Finance Stoch 17, 223–224 (2013). https://doi.org/10.1007/s00780-012-0197-9

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  • DOI: https://doi.org/10.1007/s00780-012-0197-9

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