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Asymptotic skew under stochastic volatility

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Author Info
Antoine Jacquier (Department of Economics, Mathematics & Statistics, Birkbeck)

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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.ems.bbk.ac.uk/research/wp/PDF/BWPEF0703.pdf
File Format: application/pdf
File Function: First version, 2007
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Publisher 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. Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, September.
  2. Roger W. Lee, 2004. "The Moment Formula For Implied Volatility At Extreme Strikes," Mathematical Finance, Blackwell Publishing, vol. 14(3), pages 469-480. [Downloadable!] (restricted)
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This page was last updated on 2009-11-19.

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