Matt Lorig (Princeton University)-Implied volatility for general local-stochastic volatility models

Mathematics - Colloquium

Friday, April 5, 2013
11:00 AM-12:00 PM

Stratton Hall
203

ABSTRACT: For general local-stochastic volatility models, we derive an implied volatility expansion which captures the ATM level, slope, and convexity of implied volatility. We test out expansion on one local volatility model (CEV) one stochastic volatility model (Heston) and one local-stochastic volatility model (SABR).

Suggested Audiences: Adult, College

E-mail: ma-chair@wpi.edu

Last Modified: March 19, 2013 at 12:29 PM