Name
Abstract | ||
|---|---|---|
We provide explicit conditions on the distribution of risk-neutral log-returns which yield sharp asymptotic estimates on the implied volatility smile. We allow for a variety of asymptotic regimes, including both small maturity (with arbitrary strike) and extreme strike (with arbitrary bounded maturity), extending previous work of Benaim and Friz [Math. Finance, 19 (2009), pp. 1-12]. We present applications to popular models, including the Carr-Wu finite moment logstable model, Merton's jump diffusion model, and Heston's model. |
Year | DOI | Venue |
|---|---|---|
2016 | 10.1137/15M1031102 | SIAM JOURNAL ON FINANCIAL MATHEMATICS |
Keywords | Field | DocType |
implied volatility,asymptotics,volatility smile,tail probability | Implied volatility,Economics,Financial economics,Mathematical economics,Jump diffusion,Finance,Asymptotic analysis,Bounded function | Journal |
Volume | Issue | ISSN |
7 | 1 | 1945-497X |
Citations | PageRank | References |
0 | 0.34 | 0 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| francesco caravenna | 1 | 0 | 0.68 |
| Jacopo Corbetta | 2 | 133 | 5.52 |