Seminar series
Date
Fri, 23 Nov 2012
Time
16:00 -
17:00
Location
DH 1st floor SR
Speaker
Matt Lorig
Organisation
Princeton University
We derive an exact implied volatility expansion for any model whose European call price can be expanded analytically around a Black-Scholes call price. Two examples of our framework are provided (i) exponential Levy models and (ii) CEV-like models with local stochastic volatility and local stochastic jump-intensity.