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Asymptotic skew under stochastic volatility


  • Antoine Jacquier

    (Department of Economics, Mathematics & Statistics, Birkbeck)


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.

Suggested Citation

  • Antoine Jacquier, 2007. "Asymptotic skew under stochastic volatility," Birkbeck Working Papers in Economics and Finance 0703, Birkbeck, Department of Economics, Mathematics & Statistics.
  • Handle: RePEc:bbk:bbkefp:0703

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    References listed on IDEAS

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

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