Regular Variation and Smile Asymptotics

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dc.creatorBenaim, Shalom
dc.creatorFriz, Peter
dc.date2006-03-06
dc.date2006-03-07
dc.date.accessioned2026-07-07T07:06:35Z
dc.date.available2026-07-07T07:06:35Z
dc.descriptionWe consider risk-neutral returns and show how their tail asymptotics translate directly to asymptotics of the implied volatility smile, thereby sharpening Roger Lee's celebrated moment formula. The theory of regular variation provides the ideal mathematical framework to formulate and prove such results. The practical value of our formulae comes from the vast literature on tail asymptotics and our conditions are often seen to be true by simple inspection of known results.
dc.identifierhttps://arxiv.org/abs/math/0603146
dc.identifierhttp://arxiv.org/abs/math/0603146
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/110082
dc.subjectProbability
dc.subject60E99; 91B70
dc.titleRegular Variation and Smile Asymptotics
dc.typetext

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