Smile Asymptotics II: Models with Known Moment Generating Functions

DOI10.1239/jap/1208358948zbMath1151.62079arXivmath/0608619MaRDI QIDQ5459905

Peter K. Friz, Shalom Benaim

Publication date: 30 April 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0608619

zbMATH Keywords

implied volatility smile; Tauberian theory; tail-wing formula

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G32: Statistics of extreme values; tail inference

91B70: Stochastic models in economics

60G35: Signal detection and filtering (aspects of stochastic processes)

40E05: Tauberian theorems

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ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS, On refined volatility smile expansion in the Heston model, Smile Asymptotics II: Models with Known Moment Generating Functions, Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications, Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions, ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE, Asymptotic formulae for implied volatility in the Heston model

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• Smile Asymptotics II: Models with Known Moment Generating Functions