Asymptotic skew under stochastic volatility

Antoine Jacquier ()

No 703, Birkbeck Working Papers in Economics and Finance from Birkbeck, Department of Economics, Mathematics & Statistics

Abstract: The purpose of this paper is to improve and discuss the asymptotic formula of the implied volatility (when maturity goes to infinity) given in [3]. Indeed, we are here able to provide more accurate at-the-money asymptotics. Such analytic formulas are useful for calibration.

Keywords: Implied volatility; saddlepoint; Eigenvalue equation; Heston model; stochastic volatility. (search for similar items in EconPapers)
Date: 2007-01
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https://eprints.bbk.ac.uk/id/eprint/26906 First version, 2007 (application/pdf)

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