An approximation formula for normal implied volatility under general local stochastic volatility models

Yasaman Karami and Kenichiro Shiraya
Additional contact information
Yasaman Karami: Graduate School of Economics, University of Tokyo
Kenichiro Shiraya: Graduate School of Economics, University of Tokyo

No CARF-F-427, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

Abstract: We approximate normal implied volatilities by means of an asymptotic expansion method. The contribution of this paper is twofold: to our knowledge, this paper is the first to provide a unified approximation method for the normal implied volatility under general local stochastic volatility models. Second, we compared our method with the Monte-Carlo simulations by using the parameters calibrated to the actual market data and confirmed the accuracy.

Pages: 19 pages
Date: 2018-01
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cfi:fseres:cf427

Access Statistics for this paper

More papers in CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Contact information at EDIRC.
Bibliographic data for series maintained by ().