Author:
Gatheral Jim,Jacquier Antoine
Subject
General Economics, Econometrics and Finance,Finance
Reference5 articles.
1. Asymptotic formulae for implied volatility in the Heston model
2. J. Gatheral, A parsimonious arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives, inGlobal Derivatives & Risk Management, Madrid, 2004. Available online at:http://faculty.baruch.cuny.edu/jgatheral
3. THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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