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Correction note for “The large-maturity smile for the Heston model”. (English) Zbl 1309.91138

Summary: The papers [M. Forde and A. Jacquier, Finance Stoch. 15, No. 4, 755–780 (2011; Zbl 1303.91174); M. Forde et al., ibid. 15, No. 4, 781–784 (2011; Zbl 1303.91175)] study large-time behaviour of the price process in the Heston model. This note corrects typos in both papers and clarifies the proof of [Zbl 1303.91175, Proposition 2.3].

MSC:

91G20 Derivative securities (option pricing, hedging, etc.)
91B70 Stochastic models in economics
60H30 Applications of stochastic analysis (to PDEs, etc.)
60F10 Large deviations
60G44 Martingales with continuous parameter

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References:

[1] Forde, M., Jacquier, A.: The large-maturity smile for the Heston model. Finance Stoch. 15, 755–780 (2011) · Zbl 1303.91174 · doi:10.1007/s00780-010-0147-3
[2] Forde, M., Jacquier, A., Mijatović, A.: A note on essential smoothness in the Heston model. Finance Stoch. 15, 781–784 (2011) · Zbl 1303.91175 · doi:10.1007/s00780-011-0162-z
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