From characteristic functions to implied volatility expansions

DOI10.1239/aap/1444308884zbMath1403.91343arXiv1207.0233OpenAlexW3125867245MaRDI QIDQ3450511

Matthew Lorig, Antoine Jacquier

Publication date: 6 November 2015

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.0233

zbMATH Keywords

characteristic functionHeston modelexponential martingalefinite and infinite activity exponential Lévy modelsimplied volatility expansion

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS ⋮ The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications ⋮ Challenges in approximating the Black and Scholes call formula with hyperbolic tangents ⋮ Exponentiation of conditional expectations under stochastic volatility ⋮ A PDE method for estimation of implied volatility

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