Feng, JinForde, MartinFouque, Jean-Pierre2015-02-182015-02-182010-02-10Feng, Jin., Forde, Martin., Fouque, Jean-Pierre. "Short maturity asymptotics for a fast mean reverting stochastic volatility model." SIAM Journal on Financial Mathematics. (2010) 1, 1. 126-141. http://www.dx.doi.org/10.1137/090745465.https://hdl.handle.net/1808/16713This is the published version, also available here: http://dx.doi.org/10.1137/090745465.In this paper, we study the Heston stochastic volatility model in a regime where the maturity is small but large compared to the mean-reversion time of the stochastic volatility factor. We derive a large deviation principle and compute the rate function by a precise study of the moment generating function and its asymptotic. We then obtain asymptotic prices for out-of-the-money call and put options and their corresponding implied volatilities.Article10.1137/090745465openAccess