Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes

被引：28

作者：

Gulisashvili, Archil ^{[1
]}

机构：

[1] Ohio Univ, Dept Math, Athens, OH 45701 USA

来源：

SIAM JOURNAL ON FINANCIAL MATHEMATICS | 2010年 / 1卷 / 01期

关键词：

call and put pricing functions; implied volatility; asymptotic formulas; Pareto-type distributions; regularly varying functions; STOCHASTIC VOLATILITY; STOCK-PRICE; MODELS; BEHAVIOR;

D O I：

10.1137/090762713

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we obtain asymptotic formulas with error estimates for the implied volatility associated with a European call pricing function. We show that these formulas imply Lee's moment formulas for the implied volatility and the tail-wing formulas due to Benaim and Friz. In addition, we analyze Pareto-type tails of stock price distributions in uncorrelated Hull-White, Stein-Stein, and Heston models and find asymptotic formulas with error estimates for call pricing functions in these models.

引用

页码：609 / 641

页数：33

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