LEFT-WING ASYMPTOTICS OF THE IMPLIED VOLATILITY IN THE PRESENCE OF ATOMS

DOI10.1142/S0219024915500132zbMath1337.91043arXiv1311.6027MaRDI QIDQ5249756

Archil Gulisashvili

Publication date: 11 May 2015

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

Full work available at URL: https://arxiv.org/abs/1311.6027

zbMATH Keywords

implied volatilityCEV modelleft-wing asymptoticsmodels with atoms

Mathematics Subject Classification ID

Related Items (10)

Implied Volatility of Basket Options at Extreme Strikes ⋮ Dirichlet Forms and Finite Element Methods for the SABR Model ⋮ Uniform Bounds for Black--Scholes Implied Volatility ⋮ The log‐moment formula for implied volatility ⋮ Shapes of Implied Volatility with Positive Mass at Zero ⋮ Mass at zero in the uncorrelated SABR model and implied volatility asymptotics ⋮ The survival probability of the SABR model: asymptotics and application ⋮ FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES ⋮ Implied Volatility in Strict Local Martingale Models ⋮ Large-maturity regimes of the Heston forward smile

Cites Work

• Simulation of the CEV process and the local martingale property
• Analytically tractable stochastic stock price models.
• ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE
• Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
• REGULAR VARIATION AND SMILE ASYMPTOTICS
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• Smile Asymptotics II: Models with Known Moment Generating Functions

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