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Furthermore, the result shows that the square-root behavior of the variance process induces a singularity such that for certain parameter configurations one cannot obtain high-order out-of-the-money forward smile asymptotics. In the at-the-money case a separate model-independent analysis shows that the small-maturity limit is well defined for any It\u00f4 diffusion. The proofs rely on the theory of sharp large deviations [B. Bercu and A. Rouault, Theory Probab. Appl., 46 (2002), pp. 1--19] (and refinements), and incidentally we provide an example of degenerate large deviation behavior.<\/jats:p>","DOI":"10.1137\/13091703x","type":"journal-article","created":{"date-parts":[[2013,11,12]],"date-time":"2013-11-12T13:48:04Z","timestamp":1384264084000},"page":"831-856","source":"Crossref","is-referenced-by-count":22,"title":["The Small-Maturity Heston Forward Smile"],"prefix":"10.1137","volume":"4","author":[{"given":"Antoine","family":"Jacquier","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Patrick","family":"Roome","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"351","published-online":{"date-parts":[[2013,11,12]]},"reference":[{"key":"atypb1","unstructured":"M. Abramowitz and I. 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