An improved asymptotics of implied volatility in the gatheral model

DOI10.1007/978-3-031-17820-7_1OpenAlexW4318060162MaRDI QIDQ6153199

Sergei D. Silvestrov, Anatoliy Malyarenko, Mohammed Albuhayri, Christopher Engström, Ying Ni

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

implied volatilitydouble-mean-reverting model

Mathematics Subject Classification ID

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

Cites Work

• Analytical approximation of the transition density in a local volatility model
• EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS

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