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On Black‐Scholes Implied Volatility at Extreme Strikes

Shalom Benaim · Peter K. Friz · Roger Lee

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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This chapter contains sections titled: Introduction The Moment Formula Regular Variation and the Tail-Wing Formula Related Results Applications CEV and SABR

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1999Continuous Martingales and Brownian Motion 2003Financial Modelling with Jump Processes 1999Option valuation using the fast Fourier transform 1991Continuous Martingales and Brownian Motion 1997Processes of normal inverse Gaussian type 2003Lévy processes in finance pricing financial derivatives 2003Lévy Processes in Finance 2006The Volatility Surface: A Practitioner's Guide

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2012FX Volatility Smile Construction 2015Asymptotic Expansion Approach in Finance

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