Asymptotic Skew Under Stochastic Volatility

Birkbeck Working Paper in Economics & Finance No. 0703

9 Pages Posted: 9 Jul 2007

See all articles by Antoine (Jack) Jacquier

Antoine (Jack) Jacquier

Imperial College London; The Alan Turing Institute

Date Written: January 2007

Abstract

The purpose of this paper is to improve and discuss the asymptotic formula of the implied volatility (when maturity goes to infinity) derived by A.Lewis. Indeed, we are here able to provide more accurate at-the-money asymptotics. Such analytic formulas are useful for calibration.

Keywords: implied volatility, stochastic volatility, asymptotics, Heston

JEL Classification: G12

Suggested Citation

Jacquier, Antoine, Asymptotic Skew Under Stochastic Volatility (January 2007). Birkbeck Working Paper in Economics & Finance No. 0703, Available at SSRN: https://ssrn.com/abstract=998882 or http://dx.doi.org/10.2139/ssrn.998882

Antoine Jacquier (Contact Author)

Imperial College London ( email )

South Kensington Campus
London SW7 2AZ, SW7 2AZ
United Kingdom

HOME PAGE: http://wwwf.imperial.ac.uk/~ajacquie/

The Alan Turing Institute ( email )

British Library, 96 Euston Road
London, NW12DB
United Kingdom

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