We derive an exact implied volatility expansion for any model whose European call price can be expanded analytically around a Black-Scholes call price. Two examples of our framework are provided (i) exponential Levy models and (ii) CEV-like models with local stochastic volatility and local stochastic jump-intensity.
Speaker: Matt Lorig, Department of Operations Research & Financial Engineering, Princeton University
Slides:( PDF)
Event Details
Exact Implied Volatility Expansions
- Event Date: October 1, 2012
- Event End Date: October 1, 2012
- Event Start Time: 1:40 PM
- Event End Time: 2:40 PM
- Event Location: Hill 705
- Event Type: Mathematical Finance and Probability Seminars
- Extra Info: Speaker: Matt Lorig, Department of Operations Research & Financial Engineering, Princeton University<br />