Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
From MaRDI portal
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)
Related Items (29)
ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE ⋮ On refined volatility smile expansion in the Heston model ⋮ Two-Sided Estimates for Distribution Densities in Models with Jumps ⋮ Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula ⋮ Implied Volatility of Basket Options at Extreme Strikes ⋮ Asymptotic Expansion Approach in Finance ⋮ On Small-Noise Equations with Degenerate Limiting System Arising from Volatility Models ⋮ Local Volatility, Conditioned Diffusions, and Varadhan's Formula ⋮ The Alpha‐Heston stochastic volatility model ⋮ Uniform Bounds for Black--Scholes Implied Volatility ⋮ Extreme-strike asymptotics for general Gaussian stochastic volatility models ⋮ W-shaped implied volatility curves and the Gaussian mixture model ⋮ The Impact of Jump Distributions on the Implied Volatility of Variance ⋮ EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE ⋮ Shapes of Implied Volatility with Positive Mass at Zero ⋮ Mass at zero in the uncorrelated SABR model and implied volatility asymptotics ⋮ FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES ⋮ Asymptotics of implied volatility to arbitrary order ⋮ The asymptotic smile of a multiscaling stochastic volatility model ⋮ ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS ⋮ A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS ⋮ A Black-Scholes inequality: applications and generalisations ⋮ Large-maturity regimes of the Heston forward smile ⋮ Difference Equation Theory Meets Mathematical Finance ⋮ Generalized Arbitrage-Free SVI Volatility Surfaces ⋮ General Smile Asymptotics with Bounded Maturity ⋮ LEFT-WING ASYMPTOTICS OF THE IMPLIED VOLATILITY IN THE PRESENCE OF ATOMS ⋮ Asymptotics of Forward Implied Volatility ⋮ Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX index
This page was built for publication: Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
