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Asymptotic skew under stochastic volatility

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  • Antoine Jacquier

    (Department of Economics, Mathematics & Statistics, Birkbeck)

Abstract

The purpose of this paper is to improve and discuss the asymptotic formula of the implied volatility (when maturity goes to infinity) given in [3]. Indeed, we are here able to provide more accurate at-the-money asymptotics. Such analytic formulas are useful for calibration.

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File URL: http://www.bbk.ac.uk/ems/research/wp/PDF/BWPEF0703.pdf
File Function: First version, 2007
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Bibliographic Info

Paper provided by Birkbeck, Department of Economics, Mathematics & Statistics in its series Birkbeck Working Papers in Economics and Finance with number 0703.

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Date of creation: Jan 2007
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Handle: RePEc:bbk:bbkefp:0703

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Related research

Keywords: Implied volatility; saddlepoint; Eigenvalue equation; Heston model; stochastic volatility.;

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  1. Roger W. Lee, 2004. "The Moment Formula For Implied Volatility At Extreme Strikes," Mathematical Finance, Wiley Blackwell, vol. 14(3), pages 469-480.
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