Asymptotics of implied volatility to arbitrary order
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Cites work
- scientific article; zbMATH DE number 3474264 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
- Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
- Asymptotics of Implied Volatility far from Maturity
- ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY
- On refined volatility smile expansion in the Heston model
- On the density of log-spot in the Heston volatility model
- Pricing and hedging in exponential Lévy models: review of recent results
- REGULAR VARIATION AND SMILE ASYMPTOTICS
- Smile Asymptotics II: Models with Known Moment Generating Functions
- THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
- The Variance Gamma Process and Option Pricing
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- The small-maturity smile for exponential Lévy models
Cited in
(66)- Asymptotic implied volatility at the second order with application to the SABR model
- Large and moderate deviations for stochastic Volterra systems
- Arbitrage-free smoothing of the implied volatility surface
- 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
- Asymptotic formulae for implied volatility in the Heston model
- Option pricing in the moderate deviations regime
- Extreme-strike asymptotics for general Gaussian stochastic volatility models
- Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
- Asymptotics of Implied Volatility far from Maturity
- Least Squares Kernel Smoothing of the Implied Volatility Smile
- Asymptotic behaviour of randomised fractional volatility models
- Marginal density expansions for diffusions and stochastic volatility. II: Applications
- A Black-Scholes inequality: applications and generalisations
- An improved asymptotics of implied volatility in the gatheral model
- SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
- The large-maturity smile for the Stein-Stein model
- The randomized Heston model
- REGULAR VARIATION AND SMILE ASYMPTOTICS
- A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility
- Black-Scholes in a CEV random environment
- Shapes of implied volatility with positive mass at zero
- 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-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
- Short-dated smile under rough volatility: asymptotics and numerics
- Simulation of implied volatility surfaces via tangent Lévy models
- Asymptotics for exponential Lévy processes and their volatility smile: survey and new results
- The instantaneous volatility and the implied volatility surface for a generalized Black-Scholes model
- On asymptotically arbitrage-free approximations of the implied volatility
- High-order short-time expansions for ATM option prices of exponential Lévy models
- 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
- Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders
- Asymptotics for Rough Stochastic Volatility Models
- Short Maturity Asian Options in Local Volatility Models
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- 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
- FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs
- The asymptotic smile of a multiscaling stochastic volatility model
- Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models
- Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
- Volatility surfaces: theory, rules of thumb, and empirical evidence
- Implied volatility surface estimation via quantile regularization
- General smile asymptotics with bounded maturity
- Precise asymptotics: robust stochastic volatility models
- W-shaped implied volatility curves and the Gaussian mixture model
- 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
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