ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS

DOI10.1111/j.1467-9965.2010.00472.xzbMath1270.91093OpenAlexW2099993341MaRDI 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

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)

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