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An Improved Asymptotics of Implied Volatility in the Gatheral Model
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0002-1624-5147
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0002-0139-0747
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0002-0835-7536
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2022 (English)In: Springer Proceedings in Mathematics and Statistics, Springer Nature, 2022, Vol. 408, p. 3-13Conference paper, Published paper (Refereed)
Abstract [en]

We study the double-mean-reverting model by Gatheral. Our previous results concerning the asymptotic expansion of the implied volatility of a European call option, are improved up to order 3, that is, the error of the approximation is ultimately smaller that the 1.5th power of time to maturity plus the cube of the absolute value of the difference between the logarithmic security price and the logarithmic strike price.

Place, publisher, year, edition, pages
Springer Nature, 2022. Vol. 408, p. 3-13
Series
Springer Proceedings in Mathematics and Statistics, ISSN 2194-1009, E-ISSN 2194-1017 ; 408
Keywords [en]
Double-mean-reverting model, Implied volatility
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-61400DOI: 10.1007/978-3-031-17820-7_1Scopus ID: 2-s2.0-85171525140ISBN: 978-3-031-17819-1 (print)ISBN: 978-3-031-17820-7 (electronic)OAI: oai:DiVA.org:mdh-61400DiVA, id: diva2:1722872
Conference
SPAS 2019, Västerås, Sweden, September 30–October 2
Available from: 2022-12-31 Created: 2022-12-31 Last updated: 2023-10-04Bibliographically approved

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Publisher's full textScopushttps://link.springer.com/book/9783031178191

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Albuhayri, MohammedEngström, ChristopherMalyarenko, AnatoliyNi, YingSilvestrov, Sergei

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