An improved asymptotics of implied volatility in the gatheral model

DOI10.1007/978-3-031-17820-7_1MaRDI QIDQ6153199zbMATH OpenOpenAlexFDO

Authors Mohammed Albuhayri, C. Engström, Anatoliy Malyarenko, Ying Ni, Sergei Silvestrov

Publication date 16 March 2024

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-031-17820-7_1

zbMATH Keywords

double-mean-reverting modelimplied volatility

Mathematics Subject Classification ID

Asymptotic expansions of solutions to PDEs (35C20) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Explicit implied volatilities for multifactor local-stochastic volatility models

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