Loading...
Please wait, while we are loading the content...
Similar Documents
Option Pricing in the Moderate Deviations Regime
| Content Provider | Scilit |
|---|---|
| Author | Friz, Peter K. Gerhold, Stefan Pinter, Arpad |
| Copyright Year | 2016 |
| Description | Journal: SSRN Electronic Journal We consider call option prices in diffusion models close to expiry, in an asymptotic regime ("moderately out of the money") that interpolates between the well-studied cases of at-the-money options and out-of-the-money fixed-strike options. First and higher order small-time moderate deviation estimates of call prices and implied volatility are obtained. The expansions involve only simple expressions of the model parameters, and we show in detail how to calculate them for generic local and stochastic volatility models. Some numerical examples for the Heston model illustrate the accuracy of our results. |
| Related Links | http://arxiv.org/pdf/1604.01281 https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2759347 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.2759347 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2016-04-05 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Density Expansions in Small Time Option Pricing in Small Time Moderate Deviations |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
