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Regular Variation And Smile Asymptotics

Citations

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Cited by:

  1. Jacquier, Antoine & Roome, Patrick, 2016. "Large-maturity regimes of the Heston forward smile," Stochastic Processes and their Applications, Elsevier, vol. 126(4), pages 1087-1123.
  2. Leif Döring & Blanka Horvath & Josef Teichmann, 2017. "Functional Analytic (Ir-)Regularity Properties Of Sabr-Type Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-48, May.
  3. Romain Bompis & Emmanuel Gobet, 2012. "Asymptotic and non asymptotic approximations for option valuation," Post-Print hal-00720650, HAL.
  4. Peter Carr & Andrey Itkin & Sasha Stoikov, 2019. "A model-free backward and forward nonlinear PDEs for implied volatility," Papers 1907.07305, arXiv.org.
  5. Bo Zhao & Stewart Hodges, 2013. "Parametric modeling of implied smile functions: a generalized SVI model," Review of Derivatives Research, Springer, vol. 16(1), pages 53-77, April.
  6. Sergey Badikov & Mark H. A. Davis & Antoine Jacquier, 2018. "Perturbation analysis of sub/super hedging problems," Papers 1806.03543, arXiv.org, revised May 2021.
  7. Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
  8. Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
  9. Stefan Gerhold & Johannes F. Morgenbesser & Axel Zrunek, 2014. "Refined wing asymptotics for the Merton and Kou jump diffusion models," Papers 1401.1954, arXiv.org.
  10. Aleksandar Mijatovi'c & Peter Tankov, 2012. "A new look at short-term implied volatility in asset price models with jumps," Papers 1207.0843, arXiv.org, revised Jul 2012.
  11. Ning Cai & Yingda Song & Nan Chen, 2017. "Exact Simulation of the SABR Model," Operations Research, INFORMS, vol. 65(4), pages 931-951, August.
  12. Stefano De Marco & Caroline Hillairet & Antoine Jacquier, 2017. "Shapes of implied volatility with positive mass at zero," Working Papers 2017-77, Center for Research in Economics and Statistics.
  13. Mario Dell’Era, 2014. "Closed Form Solution for Heston PDE By Geometrical Transformations," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(6), pages 793-807, June.
  14. Stefano De Marco & Caroline Hillairet & Antoine Jacquier, 2013. "Shapes of implied volatility with positive mass at zero," Papers 1310.1020, arXiv.org, revised May 2017.
  15. Antoine Jacquier & Martin Keller-Ressel, 2015. "Implied volatility in strict local martingale models," Papers 1508.04351, arXiv.org.
  16. Francesco Caravenna & Jacopo Corbetta, 2014. "General smile asymptotics with bounded maturity," Papers 1411.1624, arXiv.org, revised Jul 2016.
  17. Archil Gulisashvili & Frederi Viens & Xin Zhang, 2019. "Extreme-strike asymptotics for general Gaussian stochastic volatility models," Annals of Finance, Springer, vol. 15(1), pages 59-101, March.
  18. Archil Gulisashvili & Elias M. Stein, 2009. "Implied Volatility In The Hull–White Model," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 303-327, April.
  19. Michael R. Tehranchi, 2020. "A Black–Scholes inequality: applications and generalisations," Finance and Stochastics, Springer, vol. 24(1), pages 1-38, January.
  20. Archil Gulisashvili & Frederi Viens & Xin Zhang, 2015. "Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models," Papers 1502.05442, arXiv.org, revised Feb 2017.
  21. Antonie Kotzé & Rudolf Oosthuizen & Edson Pindza, 2015. "Implied and Local Volatility Surfaces for South African Index and Foreign Exchange Options," JRFM, MDPI, vol. 8(1), pages 1-40, January.
  22. A. Gulisashvili, 2009. "Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes," Papers 0906.0394, arXiv.org.
  23. Martin Forde & Antoine Jacquier, 2011. "The large-maturity smile for the Heston model," Finance and Stochastics, Springer, vol. 15(4), pages 755-780, December.
  24. Antoine Jacquier & Fangwei Shi, 2016. "The randomised Heston model," Papers 1608.07158, arXiv.org, revised Dec 2018.
  25. Francesco Caravenna & Jacopo Corbetta, 2015. "The asymptotic smile of a multiscaling stochastic volatility model," Papers 1501.03387, arXiv.org, revised Jul 2017.
  26. Archil Gulisashvili & Peter Tankov, 2014. "Implied volatility of basket options at extreme strikes," Papers 1406.0394, arXiv.org.
  27. P. Friz & S. Gerhold & A. Gulisashvili & S. Sturm, 2010. "On refined volatility smile expansion in the Heston model," Papers 1001.3003, arXiv.org, revised Nov 2010.
  28. Vimal Raval & Antoine Jacquier, 2021. "The Log Moment formula for implied volatility," Papers 2101.08145, arXiv.org.
  29. Gaoyue Guo & Antoine Jacquier & Claude Martini & Leo Neufcourt, 2012. "Generalised arbitrage-free SVI volatility surfaces," Papers 1210.7111, arXiv.org, revised May 2016.
  30. Sergey Badikov & Mark H.A. Davis & Antoine Jacquier, 2021. "Perturbation analysis of sub/super hedging problems," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1240-1274, October.
  31. Vimal Raval & Antoine Jacquier, 2023. "The log‐moment formula for implied volatility," Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1146-1165, October.
  32. Archil Gulisashvili, 2013. "Left-wing asymptotics of the implied volatility in the presence of atoms," Papers 1311.6027, arXiv.org.
  33. Cyril Grunspan, 2011. "A Note on the Equivalence between the Normal and the Lognormal Implied Volatility : A Model Free Approach," Papers 1112.1782, arXiv.org.
  34. J. D. Deuschel & P. K. Friz & A. Jacquier & S. Violante, 2013. "Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model]," Papers 1305.6765, arXiv.org.
  35. Michael Schröder, 2015. "Discrete-Time Approximation of Functionals in Models of Ornstein–Uhlenbeck Type, with Applications to Finance," Methodology and Computing in Applied Probability, Springer, vol. 17(2), pages 285-313, June.
  36. Caravenna, Francesco & Corbetta, Jacopo, 2018. "The asymptotic smile of a multiscaling stochastic volatility model," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 1034-1071.
  37. Philip Stahl, 2022. "Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index," Review of Derivatives Research, Springer, vol. 25(3), pages 315-339, October.
  38. Kun Gao & Roger Lee, 2014. "Asymptotics of implied volatility to arbitrary order," Finance and Stochastics, Springer, vol. 18(2), pages 349-392, April.
  39. J. D. Deuschel & P. K. Friz & A. Jacquier & S. Violante, 2011. "Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations," Papers 1111.2462, arXiv.org, revised May 2013.
  40. Leif Andersen & Alexander Lipton, 2012. "Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results," Papers 1206.6787, arXiv.org.
  41. Stefan Gerhold & Christoph Gerstenecker & Archil Gulisashvili, 2020. "Large deviations for fractional volatility models with non-Gaussian volatility driver," Papers 2003.12825, arXiv.org.
  42. Michael R. Tehranchi, 2015. "Uniform bounds for Black--Scholes implied volatility," Papers 1512.06812, arXiv.org, revised Aug 2016.
  43. Antoine Jacquier & Patrick Roome, 2013. "The Small-Maturity Heston Forward Smile," Papers 1303.4268, arXiv.org, revised Aug 2013.
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