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Persistent link: https://www.econbiz.de/10005509619
The purpose of this paper is to improve and discuss the asymptotic formula of the implied volatility (when maturity goes to infinity) given in [3]. Indeed, we are here able to provide more accurate at-the-money asymptotics. Such analytic formulas are useful for calibration.
Persistent link: https://www.econbiz.de/10005344314