General smile asymptotics with bounded maturity

We provide explicit conditions on the distribution of risk-neutral log-returns which yield sharp asymptotic estimates on the implied volatility smile. Our results extend previous work of Benaim and Friz [Math. Finance 19 (2009), 1-12] and are valid in great generality, both for extreme strike (with arbitrary bounded maturity, possibly varying with the strike) and for small maturity (with arbitrary strike, possibly varying with the maturity).

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Year of publication:	2014-11
Authors:	Caravenna, Francesco ; Corbetta, Jacopo
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010959449