A General Asymptotic Implied Volatility for Stochastic Volatility Models
نویسندگان
چکیده
منابع مشابه
Large Deviations and Stochastic Volatility with Jumps: Asymptotic Implied Volatility for Affine Models
Let σt(x) denote the implied volatility at maturity t for a strike K = S0e , where x ∈ R and S0 is the current value of the underlying. We show that σt(x) has a uniform (in x) limit as maturity t tends to infinity, given by the formula σ∞(x) = √ 2 ( h(x) + (h(x)− x) ) , for x in some compact neighbourhood of zero in the class of affine stochastic volatility models. The function h∗ is the convex...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2005
ISSN: 1556-5068
DOI: 10.2139/ssrn.698601