摘要翻译：
本文证明了Heston模型中隐含波动率的一个用初等函数表示的近似公式。该公式由隐含波动率函数大成熟度展开式中的常数项和一阶项组成。证明是基于鞍点方法和全纯函数的经典性质。
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英文标题：
《Asymptotic formulae for implied volatility in the Heston model》
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作者：
Martin Forde, Antoine Jacquier and Aleksandar Mijatovic
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  In this paper we prove an approximate formula expressed in terms of elementary functions for the implied volatility in the Heston model. The formula consists of the constant and first order terms in the large maturity expansion of the implied volatility function. The proof is based on saddlepoint methods and classical properties of holomorphic functions.
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PDF链接：
https://arxiv.org/pdf/0911.2992