Implied Volatility at Expiration

The main result of the paper is a formula for zero time-to-maturity limit ofimplied volatilities of European options under a broad class of stochastic volatilitymodels. Based on this formula, we propose a closed-form approximation of theimplied volatility smile.[...]

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Year of publication:	2008
Authors:	Medvedev, Alexey
Institutions:	National Centre of Competence in ResearchFinancial Valuation and Risk Management
Subject:	Stochastik \| Volatilität \| Optionspreis \| option pricing

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Extent:	335872 bytes 24 p. application/pdf
Series:	FINRISK Working Paper Series Working Paper ; No. 467 (2008)
Type of publication:	Book / Working Paper
Language:	English
Classification:	G12 - Asset Pricing ; Subject matter and research method of business administration ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005868991