We provide explicit conditions on the distribution of risk-neutral log-returns which yield sharp asymptotic estimates on the implied volatility smile. We allow for a variety of asymptotic regimes, including both small maturity (with arbitrary strike) and extreme strike (with arbitrary bounded maturity), extending previous work of Benaim and Friz [Math. Finance, 19 (2009), pp. 1-12]. We present applications to popular models, including the Carr-Wu finite moment logstable model, Merton's jump diffusion model, and Heston's model.
Caravenna, F., & Corbetta, J. (2016). General smile asymptotics with bounded maturity. SIAM JOURNAL ON FINANCIAL MATHEMATICS, 7(1), 720-759.
Citazione: | Caravenna, F., & Corbetta, J. (2016). General smile asymptotics with bounded maturity. SIAM JOURNAL ON FINANCIAL MATHEMATICS, 7(1), 720-759. |
Tipo: | Articolo in rivista - Articolo scientifico |
Carattere della pubblicazione: | Scientifica |
Presenza di un coautore afferente ad Istituzioni straniere: | Si |
Titolo: | General smile asymptotics with bounded maturity |
Autori: | Caravenna, F; Corbetta, J |
Autori: | CARAVENNA, FRANCESCO (Primo) CORBETTA, JACOPO (Ultimo) |
Data di pubblicazione: | 2016 |
Lingua: | English |
Rivista: | SIAM JOURNAL ON FINANCIAL MATHEMATICS |
Digital Object Identifier (DOI): | http://dx.doi.org/10.1137/15M1031102 |
Appare nelle tipologie: | 01 - Articolo su rivista |