Asymptotics of Implied Volatility to Arbitrary Order

In a unified model-free framework that includes long-expiry, short-expiry, extreme-strike, and jointly-varying strike-expiry regimes, we find asymptotic implied volatility and implied variance formulas in terms of L, with rigorous error estimates of order 1/L to any given power, where L denotes the absolute log of an option price that approaches zero. Our results therefore sharpen, to arbitrarily-high order of accuracy, the model-free asymptotics of implied volatility in extreme regimes. We then apply these general formulas to particular examples: Levy and Heston

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Year of publication:	2011
Authors:	Gao, Kun
Other Persons:	Lee, Roger (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory \| Optionsgeschäft \| Option trading \| Black-Scholes-Modell \| Black-Scholes model

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