The Smile of Stochastic Volatility Models

J. Guyon

Chapter 12 in Options — 45 Years since the Publication of the Black–Scholes–Merton Model:The Gershon Fintech Center Conference, 2023, pp 213-233 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:OutlineMotivationExpansion of the Price of a Vanilla OptionShort Maturity: Structural DependenciesLong-term Asymptotics of Implied VolatilityFirst Example: A Heston-like ModelSecond Example: The Bergomi ModelNumerical ExperimentsRederiving the Link Between Skew and Skewness of Log-ReturnsConclusionRisk Magazine, May 2012References

Keywords: Options; Call; Put; Stock; Equity; Bond; Debt; Dividend; Investment; Diversification; Volatility; Black–Scholes; Merton Model; Stochastic; Swap; Commodity; Index; Contingent Claims; Exotic Option (search for similar items in EconPapers)
JEL-codes: C C02 G1 G11 G12 G15 (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789811259142_0012 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789811259142_0012 (text/html)
Ebook Access is available upon purchase.

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:wsi:wschap:9789811259142_0012

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().