Search Results - subject:"Call and put pricing functions"

ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE

GULISASHVILI, ARCHIL - In: International Journal of Theoretical and Applied … 15 (2012) 03, pp. 1250020-1

In this paper, we study the asymptotic behavior of the implied volatility in stochastic asset price models. We provide necessary and sufficient conditions for the validity of asymptotic equivalence in Lee's moment formulas, and obtain new asymptotic formulas for the implied volatility in asset...

Persistent link: https://www.econbiz.de/10010551038

Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture

Gulisashvili, Archil - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-34

Persistent link: https://www.econbiz.de/10009624495