ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY

DOI10.1142/S0219024909005336zbMath1291.91210MaRDI QIDQ5193002

Michael Roper, Marek Rutkowski

Publication date: 10 August 2009

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

zbMATH Keywords

option pricinglogarithmic limitimplied volatilityBlack-Scholes formulaasymptotic and approximate formulae

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (19)

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• A new formula for computing implied volatility
• Computing the implied volatility in stochastic volatility models
• Is there an informationally passive benchmark for option pricing incorporating maturity?
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
• On the Right-Hand Derivative of a Certain Integral Function
• A market model for stochastic implied volatility

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