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搜索结果: 1-5 共查到数量经济学 implied volatility.相关记录5条 . 查询时间(0.062 秒)
We analyse the behaviour of the implied volatility smile for options close to expiry in the exponential Levy class of asset price models with jumps. We introduce a new renormalisation of the strike v...
For any exponential L磂vy model whose diffusion component isnonzero, we provide an exact series representation for the implied volatility of a European call option. Numerical examples are provided.
We give a rigorous proof of the representation of implied volatility as a time-average of weighted expectations of local or stochastic volatility. With this proof we fix the problem of a circular defi...
We provide a general method to compute a Taylor expansion in time of implied volatility for stochastic volatility models, using a heat kernel expansion. Beyond the order 0 implied volatility which is...
In this paper, we obtain asymptotic formulas with error estimates for the implied volatility associated with a European call pricing function. We show that these formulas imply Lee’s moment formulas ...

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