Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
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Publication:3055866
DOI10.1137/090762713zbMath1284.91545arXiv0906.0394OpenAlexW2023954863MaRDI QIDQ3055866
Publication date: 10 November 2010
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0906.0394
implied volatilityregularly varying functionscall and put pricing functionsasymptotic formulas, Pareto-type distributions
Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)
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