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A General Asymptotic Implied Volatility for Stochastic Volatility Models · Study

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PreprintA General Asymptotic Implied Volatility for Stochastic Volatility Models

Pierre Henry‐Labordère2005

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Preprintgreen2005

A General Asymptotic Implied Volatility for Stochastic Volatility Models

Pierre Henry‐Labordère

113 citations·0/0 files stored·SSRN Electronic Journal

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

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1987The Pricing of Options on Assets with Stochastic Volatilities 1987The Pricing of Options on Assets with Stochastic Volatilities 2002Option valuation under stochastic volatility: with mathematica code 2004Computing the implied volatility in stochastic volatility models 2002Asymptotics and calibration of local volatility models 1999Equivalent Black volatilities

Cited by

2015Asymptotic Implied Volatility at the Second Order with Application to the SABR Model 2008Local volatility dynamic models 2009Smart expansion and fast calibration for jump diffusions 2017Explicit implied volatilities for multifactor local-stochastic volatility models 2010Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model 2012Small-time asymptotics for fast mean-reverting stochastic volatility models

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Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations113

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.698601

openalex_workW2103594874

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2014Hermite polynomial based expansion of European option prices

2011Implied Volatility Surface: Construction Methodologies and Characteristics