ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE

DOI10.1142/S0219024912500203zbMath1241.91114WikidataQ123025353 ScholiaQ123025353MaRDI QIDQ2892978

Archil Gulisashvili

Publication date: 25 June 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

implied volatilitycall and put pricing functionsLee's moment formulasPiterbarg's conjecturesharp asymptotic formulas

Mathematics Subject Classification ID

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

Related Items (9)

Two-Sided Estimates for Distribution Densities in Models with Jumps ⋮ Implied Volatility of Basket Options at Extreme Strikes ⋮ Arbitrage-free interpolation of call option prices ⋮ Extreme-strike asymptotics for general Gaussian stochastic volatility models ⋮ The Impact of Jump Distributions on the Implied Volatility of Variance ⋮ The log‐moment formula for implied volatility ⋮ Shapes of Implied Volatility with Positive Mass at Zero ⋮ Asymptotics of implied volatility to arbitrary order ⋮ LEFT-WING ASYMPTOTICS OF THE IMPLIED VOLATILITY IN THE PRESENCE OF ATOMS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• A survey and some generalizations of Bessel processes
• Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
• On the existence of a regularly varying majorant of an integrable monotone function
• Semiparametric modeling of implied volatility.
• Two singular diffusion problems
• Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
• IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
• Analysis, Geometry, and Modeling in Finance
• ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I
• REGULAR VARIATION AND SMILE ASYMPTOTICS
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• Financial Modelling with Jump Processes
• On refined volatility smile expansion in the Heston model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Smile Asymptotics II: Models with Known Moment Generating Functions
• A Stochastic Volatility Alternative to SABR

This page was built for publication: ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE