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Asymptotic Skew Under Stochastic Volatility

Asymptotic Skew Under Stochastic Volatility PDF Author: Antoine (Jack) Jacquier
Publisher:
ISBN:
Category :
Languages : en
Pages : 9

Book Description
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.
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