منابع مشابه
Asymptotics of Forward Implied Volatility
We study asymptotics of forward-start option prices and the forward implied volatility smile using the theory of sharp large deviations (and refinements). In Chapter 1 we give some intuition and insight into forward volatility and provide motivation for the study of forward smile asymptotics. We numerically analyse no-arbitrage bounds for the forward smile given calibration to the marginal dist...
متن کاملAsymptotics of Implied Volatility Far from Maturity
This note explores the behaviour of the implied volatility of a European call option far frommaturity. Asymptotic formulae are derived with precise control over the error terms. The connection between the asymptotic implied volatility and the cumulant generating function of the logarithm of the underlying stock price is discussed in detail and illustrated by examples.
متن کاملForward and Future Implied Volatility
We address the problem of defining and calculating forward volatility implied by option prices when the underlying asset is driven by a stochastic volatility process. We examine alternative notions of forward implied volatility and the information required to extract these measures from the prices of European options at fixed maturities. We then specialize to the SABR model and show how the asy...
متن کاملShort-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
The implied volatility skew has received relatively little attention in the literature on short-term asymptotics for financial models with jumps, despite its importance in model selection and calibration. We rectify this by providing high-order asymptotic expansions for the at-the-money implied volatility skew, under a rich class of stochastic volatility models with independent stable-like jump...
متن کاملShort-time asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
The implied volatility slope has received relatively little attention in the literature on short-time asymptotics for financial models with jumps, despite its importance in model selection and calibration. In this paper, we fill this gap by providing high-order asymptotic expansions for the at-the-money implied volatility slope of a rich class of stochastic volatility models with independent st...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2015
ISSN: 1945-497X
DOI: 10.1137/140960712