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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- REGULAR VARIATION AND SMILE ASYMPTOTICS
- On refined volatility smile expansion in the Heston model
Cited In (64)
- SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL
- W-shaped implied volatility curves and the Gaussian mixture model
- Effective asymptotics analysis for finance
- 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
- Refined wing asymptotics for the Merton and Kou jump diffusion models
- Option pricing in the moderate deviations regime
- Asymptotic formulae for implied volatility in the Heston model
- 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
- Asymptotic behaviour of randomised fractional volatility models
- Marginal density expansions for diffusions and stochastic volatility. II: Applications
- Asymptotics of Implied Volatility far from Maturity
- Least Squares Kernel Smoothing of the Implied Volatility Smile
- A Black-Scholes inequality: applications and generalisations
- SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
- The randomized Heston 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
- Shapes of implied volatility with positive mass at zero
- Black-Scholes in a CEV random environment
- Option data and modeling BSM implied volatility
- 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
- Simulation of implied volatility surfaces via tangent Lévy models
- Asymptotics for exponential Lévy processes and their volatility smile: survey and new results
- On asymptotically arbitrage-free approximations of the implied volatility
- High-order short-time expansions for ATM option prices of exponential Lévy models
- The instantaneous volatility and the implied volatility surface for a generalized Black-Scholes model
- Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions
- Asymptotics for volatility derivatives in multi-factor rough volatility models
- Implied volatility of basket options at extreme strikes
- Large deviation principle for Volterra type fractional stochastic volatility models
- Asymptotics of Forward Implied Volatility
- Asymptotics for Rough Stochastic Volatility Models
- Short Maturity Asian Options in Local Volatility Models
- Uniform bounds for Black-Scholes implied volatility
- Maturity cycles in implied volatility
- An explicit implied volatility formula
- On implied volatility surface construction for stochastic investment models
- Analytical approximation of the transition density in a local volatility model
- The normalizing transformation of the implied volatility smile
- From characteristic functions to implied volatility expansions
- Short-time expansions for call options on leveraged ETFs under exponential Lévy models with local volatility
- Small-time moderate deviations for the randomised Heston model
- Explicit implied volatilities for multifactor local-stochastic volatility models
- Small-time asymptotics for Gaussian self-similar stochastic volatility models
- Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models
- The asymptotic smile of a multiscaling stochastic volatility model
- Volatility surfaces: theory, rules of thumb, and empirical evidence
- Implied volatility surface estimation via quantile regularization
- Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
- General smile asymptotics with bounded maturity
- Precise asymptotics: robust stochastic volatility models
- Asymptotics of the time-discretized log-normal SABR model: the implied volatility surface
- Small‐time, large‐time, and asymptotics for the Rough Heston model
- Asymptotics of implied volatility in local volatility models
- Closed-form implied volatility surfaces for stochastic volatility models with jumps
- Asymptotic implied volatility at the second order with application to the SABR model
- Arbitrage-free smoothing of the implied volatility surface
- Large and moderate deviations for stochastic Volterra systems
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