Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX index

DOI10.1007/s11147-022-09190-2zbMath1501.91169OpenAlexW4296226238MaRDI QIDQ2096157

Philip Stahl

Publication date: 16 November 2022

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-022-09190-2

zbMATH Keywords

volatility smilevariance swapsmodel-free implied volatilityVIX index

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
• REGULAR VARIATION AND SMILE ASYMPTOTICS
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Probability distribution of returns in the Heston model with stochastic volatility*
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES

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