ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS

DOI10.1111/j.1467-9965.2010.00472.xzbMath1270.91093MaRDI QIDQ4919611

Jim Gatheral, Elton P. Hsu, Cheng Ouyang, Peter Laurence, Tai-Ho Wang

Publication date: 14 May 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00472.x

zbMATH Keywords

asymptotic expansion; implied volatility; heat kernels; local volatility

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91G20: Derivative securities (option pricing, hedging, etc.)

65C30: Numerical solutions to stochastic differential and integral equations

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