General Smile Asymptotics with Bounded Maturity

DOI10.1137/15M1031102zbMath1350.91015arXiv1411.1624OpenAlexW2963830695MaRDI QIDQ2832614

Francesco Caravenna, Jacopo Corbetta

Publication date: 11 November 2016

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.1624

zbMATH Keywords

asymptotic behaviortail probabilityvolatility smileimplied volatility

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Black-Scholes in a CEV random environment ⋮ Option pricing in the moderate deviations regime ⋮ Uniform Bounds for Black--Scholes Implied Volatility ⋮ Small-time moderate deviations for the randomised Heston model ⋮ Analytical approximation of the transition density in a local volatility model ⋮ Multi-scaling of moments in stochastic volatility models ⋮ The asymptotic smile of a multiscaling stochastic volatility model ⋮ The Randomized Heston Model ⋮ Small-time asymptotics for Gaussian self-similar stochastic volatility models

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