Implied Volatility at Expiration
Download full text from publisher
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Itkin, Andrey, 2015.
"To sigmoid-based functional description of the volatility smile,"
The North American Journal of Economics and Finance,
Elsevier, vol. 31(C), pages 264-291.
- Andrey Itkin, 2014. "To sigmoid-based functional description of the volatility smile," Papers 1407.0256, arXiv.org, revised Dec 2014.
- Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
More about this item
KeywordsOption pricing; stochastic volatility; implied volatility; short-maturity asymptotics.;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:chf:rpseri:rp0804. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marilyn Barja). General contact details of provider: http://edirc.repec.org/data/chfeech.html .
We have no references for this item. You can help adding them by using this form .