Asymptotics of Implied Volatility far from Maturity
2009 ◽
Vol 46
(03)
◽
pp. 629-650
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Keyword(s):
This note explores the behaviour of the implied volatility of a European call option far from maturity. Asymptotic formulae are derived with precise control over the error terms. The connection between the asymptotic implied volatility and the cumulant generating function of the logarithm of the underlying stock price is discussed in detail and illustrated by examples.
2009 ◽
Vol 46
(3)
◽
pp. 629-650
◽
Keyword(s):
2009 ◽
Vol 87
(2)
◽
pp. 145-152
◽
Keyword(s):
2015 ◽
Vol 2015
◽
pp. 1-11
◽
Keyword(s):
2011 ◽
Vol 14
(04)
◽
pp. 559-578
◽
2017 ◽
Vol 22
(1)
◽
pp. 23
◽