Asymptotics of Implied Volatility far from Maturity
نویسندگان
چکیده
منابع مشابه
Asymptotics 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.
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2009
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1253279843