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Asymptotic skew under stochastic volatility

Author

Listed:
  • Antoine Jacquier

    (Department of Economics, Mathematics & Statistics, Birkbeck)

Abstract

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.

Suggested Citation

  • Antoine Jacquier, 2007. "Asymptotic skew under stochastic volatility," Birkbeck Working Papers in Economics and Finance 0703, Birkbeck, Department of Economics, Mathematics & Statistics.
    • Handle: RePEc:bbk:bbkefp:0703
    as

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    File URL: https://eprints.bbk.ac.uk/id/eprint/26906
    File Function: First version, 2007
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    References listed on IDEAS

    as
    1. Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, December.
    2. Roger W. Lee, 2004. "The Moment Formula For Implied Volatility At Extreme Strikes," Mathematical Finance, Wiley Blackwell, vol. 14(3), pages 469-480, July.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Implied volatility; saddlepoint; Eigenvalue equation; Heston model; stochastic volatility.;
    All these keywords.

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