Implied Volatility at Expiration

The main result of the paper is a formula for zero time-to-maturity limit ofimplied volatilities of European options under a broad class of stochastic volatilitymodels. Based on this formula, we propose a closed-form approximation of theimplied volatility smile.[...]

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Year of publication:	2008
Authors:	Medvedev, Alexey
Institutions:	National Centre of Competence in ResearchFinancial Valuation and Risk Management
Subject:	Stochastik \| Volatilität \| Optionspreis \| option pricing

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Table of Contents
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1 Model
2 Spot implied volatility
2.1 Main result
2.2 Some examples
2.3 Derivatives of the implied volatility
3 Application to option pricing
4 Summary
References
Appendix

Persistent link: https://www.econbiz.de/10005868991