From characteristic functions to implied volatility expansions
نویسندگان
چکیده
منابع مشابه
From characteristic functions to implied volatility expansions
For any strictly positive martingale S = e for which X has an analytically tractable characteristic function, we provide an expansion for the implied volatility. This expansion is explicit in the sense that it involves no integrals, but only polynomials in log(K/S0). We illustrate the versatility of our expansion by computing the approximate implied volatility smile in three well-known martinga...
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2015
ISSN: 0001-8678,1475-6064
DOI: 10.1239/aap/1444308884