ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY (Q5193002)
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scientific article; zbMATH DE number 5593338
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| English | ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY |
scientific article; zbMATH DE number 5593338 |
Statements
ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY (English)
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10 August 2009
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option pricing
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implied volatility
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logarithmic limit
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Black-Scholes formula
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asymptotic and approximate formulae
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0.87526107
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0.8644337
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0.8444423
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0.8443468
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0.8399943
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0.83778656
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0.8324594
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