From implied to spot volatilities
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References listed on IDEAS
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- Romain Bompis, 2017. "Weak approximations for arithmetic means of geometric Brownian motions and applications to Basket options," Working Papers hal-01502886, HAL.
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- Lingjiong Zhu, 2015. "Options with Extreme Strikes," Risks, MDPI, Open Access Journal, vol. 3(3), pages 1-16, July.
- Dan Pirjol & Lingjiong Zhu, 2016. "Short Maturity Asian Options in Local Volatility Models," Papers 1609.07559, arXiv.org.
- Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
- Lingjiong Zhu, 2015. "Short maturity options for Azéma–Yor martingales," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-32, December.
- Stefan Gerhold & I. Cetin Gulum & Arpad Pinter, 2013. "Small-maturity asymptotics for the at-the-money implied volatility slope in L\'evy models," Papers 1310.3061, arXiv.org, revised May 2016.
More about this item
KeywordsOption price; Implied volatility; Spot volatility; Martingale representation; Asymptotic analysis; Itô–Wentzell formula; 60H10; 91B28; C60; G13;
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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