Asymptotics of Implied Volatility far from Maturity
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Cites work
- Affine processes and applications in finance
- Asymptotics of Implied Volatility far from Maturity
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- scientific article; zbMATH DE number 2163514 (Why is no real title available?)
- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
- Local martingales, bubbles and option prices
- Moment explosions and long-term behavior of affine stochastic volatility models
- Probability and random processes.
- The large-maturity smile for the Heston model
- The Variance Gamma Process and Option Pricing
Cited in
(26)- Black-Scholes in a CEV random environment
- Application of large deviation methods to the pricing of index options in finance.
- Robust calibration and arbitrage-free interpolation of SSVI slices
- A new look at short-term implied volatility in asset price models with jumps
- General smile asymptotics with bounded maturity
- Uniform bounds for Black-Scholes implied volatility
- Asymptotic formulae for implied volatility in the Heston model
- Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
- Asymptotics of Implied Volatility far from Maturity
- scientific article; zbMATH DE number 1069623 (Why is no real title available?)
- Implied volatility of basket options at extreme strikes
- A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility
- Implied volatility in strict local martingale models
- Implied volatility of leveraged ETF options
- Asymptotics of implied volatility to arbitrary order
- The large-maturity smile for the Heston model
- Long-time large deviations for the multiasset Wishart stochastic volatility model and option pricing
- Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
- Asymptotics of Forward Implied Volatility
- Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
- Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models
- Large-maturity regimes of the Heston forward smile
- An improved asymptotics of implied volatility in the gatheral model
- The asymptotic smile of a multiscaling stochastic volatility model
- Explicit option pricing with additive processes
- Tighter `uniform bounds for Black-Scholes implied volatility' and the applications to root-finding
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