Asymptotics and calibration of local volatility models
نویسندگان
چکیده
منابع مشابه
Asymptotics and calibration of local volatility models
We derive a direct link between local and implied volatilities in the form of a quasilinear degenerate parabolic partial differential equation. Using this equation we establish closed-form asymptotic formulae for the implied volatility near expiry as well as for deep inand out-of-the-money options. This in turn leads us to propose a new formulation near expiry of the calibration problem for the...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2002
ISSN: 1469-7688,1469-7696
DOI: 10.1088/1469-7688/2/1/305