Asymptotics of Forward Implied Volatility

DOI10.1137/140960712zbMath1339.60021arXiv1212.0779OpenAlexW3123459548MaRDI QIDQ5250047

Patrick Roome, Antoine Jacquier

Publication date: 15 May 2015

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

Full work available at URL: https://arxiv.org/abs/1212.0779

zbMATH Keywords

asymptotic expansionstochastic volatilitylarge deviationsforward implied volatilitytime-changed Lévy model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Large deviations (60F10) Financial applications of other theories (91G80)

Related Items (12)

Black-Scholes in a CEV random environment ⋮ The Jacobi stochastic volatility model ⋮ The Gärtner-Ellis Theorem, Homogenization, and Affine Processes ⋮ The implied volatility of Forward-Start options: ATM short-time level, skew and curvature ⋮ Weighted average price in the Heston stochastic volatility model ⋮ Pathwise large deviations for the rough Bergomi model ⋮ Change of numeraire in the two-marginals martingale transport problem ⋮ The Randomized Heston Model ⋮ Large-maturity regimes of the Heston forward smile ⋮ Asymptotic behaviour of randomised fractional volatility models ⋮ Short Maturity Forward Start Asian Options in Local Volatility Models ⋮ REPLICATION SCHEME FOR THE PRICING OF EUROPEAN OPTIONS

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