Asymptotic skew under stochastic volatility
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References listed on IDEAS
- 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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KeywordsImplied volatility; saddlepoint; Eigenvalue equation; Heston model; stochastic volatility.;
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