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    Asymptotic skew under stochastic volatility

    Jacquier, Antoine (2007) Asymptotic skew under stochastic volatility. Working Paper. Birkbeck, University of London, London, UK.

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    Abstract

    The purpose of this paper is to improve and discuss the asymptotic formula of the implied volatility (when maturity goes to infinity) given in [3]. Indeed, we are here able to provide more accurate at-the-money asymptotics. Such analytic formulas are useful for calibration.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: BWPEF 0703
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 26 Mar 2019 15:35
    Last Modified: 28 Jul 2019 06:03
    URI: http://eprints.bbk.ac.uk/id/eprint/26906

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