ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS

DOI10.1142/S0219024913500015zbMath1275.91101arXiv1206.6787OpenAlexW3122814119MaRDI QIDQ4916238

Alexander Lipton-Lifschitz, Leif B. G. Andersen

Publication date: 22 April 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.6787

zbMATH Keywords

long-time asymptoticsshort-time asymptoticsimplied volatilityexponential Lévy processesLewis-Lipton formula

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (28)

SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL ⋮ Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps ⋮ Implied Volatility of Basket Options at Extreme Strikes ⋮ Closed-form implied volatility surfaces for stochastic volatility models with jumps ⋮ REDUCED-ORDER MODELS FOR THE IMPLIED VARIANCE UNDER LOCAL VOLATILITY ⋮ Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model ⋮ Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation ⋮ Uniform Bounds for Black--Scholes Implied Volatility ⋮ Short Maturity Asian Options in Local Volatility Models ⋮ Closed-form option pricing for exponential Lévy models: a residue approach ⋮ The economics of time as it is embedded in the prices of options§ ⋮ Multivariate exponential power Lévy processes and random fields ⋮ Numerical solution of time-fractional Black-Scholes equation ⋮ A Monte Carlo algorithm for the extrema of tempered stable processes ⋮ Third-order short-time expansions for close-to-the-money option prices under the CGMY model ⋮ Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure ⋮ OLD PROBLEMS, CLASSICAL METHODS, NEW SOLUTIONS ⋮ The asymptotic smile of a multiscaling stochastic volatility model ⋮ Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models ⋮ Large-maturity regimes of the Heston forward smile ⋮ Lévy-Ito models in finance ⋮ Static hedging under maturity mismatch ⋮ Lévy information and the aggregation of risk aversion ⋮ DETERMINATION OF THE LÉVY EXPONENT IN ASSET PRICING MODELS ⋮ Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models ⋮ Asymptotics of Forward Implied Volatility ⋮ SHORT-TIME IMPLIED VOLATILITY IN EXPONENTIAL LÉVY MODELS ⋮ Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility

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