Asymptotics of implied volatility to arbitrary order
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Publication:468415
DOI10.1007/S00780-013-0223-6zbMATH Open1307.91175OpenAlexW4375905808MaRDI QIDQ468415FDOQ468415
Publication date: 7 November 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-013-0223-6
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Cites Work
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- Smile Asymptotics II: Models with Known Moment Generating Functions
- Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
- Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
- Asymptotics of Implied Volatility far from Maturity
- REGULAR VARIATION AND SMILE ASYMPTOTICS
- On refined volatility smile expansion in the Heston model
Cited In (50)
- Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models
- Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model
- Short-time near-the-money skew in rough fractional volatility models
- Option pricing in the moderate deviations regime
- Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
- Extreme-strike asymptotics for general Gaussian stochastic volatility models
- AN EXPLICIT IMPLIED VOLATILITY FORMULA
- Asymptotic behaviour of randomised fractional volatility models
- Asymptotics of Implied Volatility far from Maturity
- Least Squares Kernel Smoothing of the Implied Volatility Smile
- HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS
- SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
- A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility
- The large-maturity smile for the Stein-Stein model
- REGULAR VARIATION AND SMILE ASYMPTOTICS
- Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility
- Black-Scholes in a CEV random environment
- Large deviations for the extended Heston model: the large-time case
- Large-maturity regimes of the Heston forward smile
- Short-dated smile under rough volatility: asymptotics and numerics
- Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
- EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS
- On asymptotically arbitrage-free approximations of the implied volatility
- Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models
- Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions
- Asymptotics for volatility derivatives in multi-factor rough volatility models
- ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE
- Asymptotics of Forward Implied Volatility
- Asymptotics for Rough Stochastic Volatility Models
- Short Maturity Asian Options in Local Volatility Models
- Maturity cycles in implied volatility
- EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE
- Analytical approximation of the transition density in a local volatility model
- SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL
- Small-time moderate deviations for the randomised Heston model
- Small-time asymptotics for Gaussian self-similar stochastic volatility models
- Shapes of Implied Volatility with Positive Mass at Zero
- The asymptotic smile of a multiscaling stochastic volatility model
- Volatility surfaces: theory, rules of thumb, and empirical evidence
- Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
- Uniform Bounds for Black--Scholes Implied Volatility
- W-shaped implied volatility curves and the Gaussian mixture model
- General smile asymptotics with bounded maturity
- Precise asymptotics: robust stochastic volatility models
- Small‐time, large‐time, and asymptotics for the Rough Heston model
- Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications
- The Randomized Heston Model
- Closed-form implied volatility surfaces for stochastic volatility models with jumps
- Implied Volatility of Basket Options at Extreme Strikes
- Large and moderate deviations for stochastic Volterra systems
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