An improved asymptotics of implied volatility in the gatheral model

DOI10.1007/978-3-031-17820-7_1OpenAlexW4318060162MaRDI QIDQ6153199FDOQ6153199

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

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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

• Explicit implied volatilities for multifactor local-stochastic volatility models

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