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Asymptotics of Implied Volatility in the Gatheral Model
Mälardalen University, School of Education, Culture and Communication. 1994.
Mälardalen University, School of Education, Culture and Communication.
2019 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The double-mean-reverting model by Gatheral is motivated by empirical dynamics of the variance of the stock price. No closed-form solution for European option exists in the above model. We study the behaviour of the implied volatility with respect to the logarithmic strike price and maturity near expiry and at-the-money. Using the method by Pagliarani and Pascucci, we calculate explicitly the first few terms of the asymptotic expansion of the implied volatility within a parabolic region.

Place, publisher, year, edition, pages
2019. , p. 32
Keywords [en]
asymptotic expansion, gatheral model, implied volatility
National Category
Natural Sciences
Identifiers
URN: urn:nbn:se:mdh:diva-43684OAI: oai:DiVA.org:mdh-43684DiVA, id: diva2:1321641
Subject / course
Mathematics/Applied Mathematics
Supervisors
Examiners
Available from: 2019-06-10 Created: 2019-06-09 Last updated: 2019-06-10Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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  • vancouver
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
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  • asciidoc
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