Short-Term At-the-Money Asymptotics under Stochastic Volatility Models

DOI10.1137/18M1167565zbMath1417.91495arXiv1801.08675MaRDI QIDQ4968922

Omar El Euch, Mathieu Rosenbaum, Jim Gatheral, Masaaki Fukasawa

Publication date: 10 July 2019

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.08675

zbMATH Keywords

asymptotic expansionimplied volatilityrough volatility

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Derivative securities (option pricing, hedging, etc.) (91G20)

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