Convergence of At-The-Money Implied Volatilities to the Spot Volatility

DOI10.1239/jap/1214950366zbMath1152.91682OpenAlexW3124207365MaRDI QIDQ3516426

Valdo Durrleman

Publication date: 5 August 2008

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

Full work available at URL: https://doi.org/10.1239/jap/1214950366

zbMATH Keywords

implied volatilitymartingale central limit theoremspot volatilityrobustness formula

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic models in economics (91B70) Stochastic integrals (60H05)

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Cites Work

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• Computing the implied volatility in stochastic volatility models
• Convergence of At-The-Money Implied Volatilities to the Spot Volatility
• [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
• Robustness of the Black and Scholes Formula
• A market model for stochastic implied volatility
• HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets

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