In this paper, we study the asymptotic behavior of the implied volatility in stochastic asset price models. We provide … asymptotic formulas for the implied volatility in asset price models without moment explosions. As an application, we prove a … Lee's moment formula for the implied volatility at large strikes in the case of models without moment explosions. We also …

We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high …

Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …