Asymptotic skew under stochastic volatility

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.

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Year of publication:	2007-01
Authors:	Jacquier, Antoine
Institutions:	Birkbeck, Department of Economics, Mathematics & Statistics
Subject:	Implied volatility \| saddlepoint \| Eigenvalue equation \| Heston model \| stochastic volatility

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Extent:	application/pdf
Series:	Birkbeck Working Papers in Economics and Finance.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0703
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005344314