Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)

Exact Implied Volatility Expansions

Monday, October 01, 2012 at 01:40pm - 02:40pm

Speaker: Matt Lorig, Department of Operations Research & Financial Engineering, Princeton University

We derive an exact implied volatility expansion for any model whose European call price can be expanded analytically around a Black-Scholes call price. Two examples of our framework are provided (i) exponential Levy models and (ii) CEV-like models with local stochastic volatility and local stochastic jump-intensity.

Speaker: Matt Lorig, Department of Operations Research & Financial Engineering, Princeton University

Slides:( pdf PDF (400 KB) )
Location   Hill 705