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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Official URL: http://www.bbk.ac.uk/ems/research/wp
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 Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 26 Mar 2019 15:35 |
| Last Modified: | 02 Aug 2023 17:50 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/26906 |
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