Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes (Q3055866)
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scientific article; zbMATH DE number 5814399
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| English | Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes |
scientific article; zbMATH DE number 5814399 |
Statements
Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes (English)
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10 November 2010
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call and put pricing functions
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implied volatility
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asymptotic formulas, Pareto-type distributions
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regularly varying functions
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0.8861809
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0.88316715
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0.8819652
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0.8723952
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0.87198216
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0.8714496
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0.87101614
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0.8671528
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