英文标题:
《General smile asymptotics with bounded maturity》
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作者:
Francesco Caravenna, Jacopo Corbetta
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最新提交年份:
2016
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英文摘要:
We provide explicit conditions on the distribution of risk-neutral log-returns which yield sharp asymptotic estimates on the implied volatility smile. We allow for a variety of asymptotic regimes, including both small maturity (with arbitrary strike) and extreme strike (with arbitrary bounded maturity), extending previous work of Benaim and Friz [Math. Finance 19 (2009), 1-12]. We present applications to popular models, including Carr-Wu finite moment logstable model, Merton\'s jump diffusion model and Heston\'s model.
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中文摘要:
我们给出了风险中性对数收益分布的显式条件,从而得出隐含波动率的精确渐近估计。我们考虑了各种渐近机制,包括小成熟度(任意走向)和极端成熟度(任意有界走向),扩展了Benaim和Friz之前的工作[Math.Finance 19(2009),1-12]。我们介绍了常用模型的应用,包括Carr-Wu有限矩对数稳定模型、Merton跳扩散模型和Heston模型。
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Pricing of Securities 证券定价
分类描述:Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类:Mathematics 数学
二级分类:Probability 概率
分类描述:Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用:例如中心极限定理,大偏差,随机微分方程,统计力学模型,排队论
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