Maturity cycles in implied volatility

DOI10.1007/S00780-004-0126-7MaRDI QIDQ1776013zbMATH OpenOpenAlexFDO

Authors Jean-Pierre Fouque, Ronnie Sircar, George Papanicolaou, Knut Sølna

Publication date 20 May 2005

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00780-004-0126-7

zbMATH Keywords

asymptotic expansionsfast mean-reverting stochastic volatility

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70)

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Cited in

(20)

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• A novel term-structure-based Heston model for implied volatility surface
• Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
• On smile properties of volatility derivatives: understanding the VIX skew
• Asymptotic analysis for stochastic volatility: martingale expansion
• Short-time at-the-money skew and rough fractional volatility
• Asymptotic expansion formula of option price under multifactor Heston model
• Option pricing in sandwiched Volterra volatility model
• Index of function inversion
• Multiscale stochastic volatility model for derivatives on futures
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
• Selecting the best forecasting-implied volatility model using genetic programming
• Heston stochastic vol-of-vol model for joint calibration of VIX and S\&P 500 options
• The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
• Closed-form implied volatility surfaces for stochastic volatility models with jumps
• Short-time implied volatility of additive normal tempered stable processes

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