Short-term at-the-money asymptotics under stochastic volatility models

Omar El Euch, Masaaki Fukasawa, Jim Gatheral and Mathieu Rosenbaum

Papers from arXiv.org

Abstract: A small-time Edgeworth expansion of the density of an asset price is given under a general stochastic volatility model, from which asymptotic expansions of put option prices and at-the-money implied volatilities follow. A limit theorem for at-the-money implied volatility skew and curvature is also given as a corollary. The rough Bergomi model is treated as an example.

Date: 2018-01, Revised 2019-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://arxiv.org/pdf/1801.08675 Latest version (application/pdf)

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:arx:papers:1801.08675

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().