Matt Lorig (Princeton University)-Implied volatility for general local-stochastic volatility models
Mathematics - Colloquium
Friday, April 5, 2013
11:00 AM-12:00 PM
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
Last Modified: March 19, 2013 at 12:29 PM