Fine-tune your smile: Correction to Hagan et al

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dc.creatorObloj, Jan
dc.date2007-08-07
dc.date2008-03-18
dc.date.accessioned2026-07-07T12:05:21Z
dc.date.available2026-07-07T12:05:21Z
dc.descriptionIn this small note we use results derived in Berestycki et al. to correct the celebrated formulae of Hagan et al. We derive explicitly the correct zero order term in the expansion of the implied volatility in time to maturity. The new term is consistent as $β\to 1$. Furthermore, numerical simulations show that it reduces or eliminates known pathologies of the earlier formula.
dc.descriptionTypos and reference corrected. Eq (3) valid for all x now
dc.identifierhttps://arxiv.org/abs/0708.0998
dc.identifierhttp://arxiv.org/abs/0708.0998
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208352
dc.subjectComputational Finance
dc.subjectProbability
dc.subjectStatistical Finance
dc.titleFine-tune your smile: Correction to Hagan et al
dc.typetext

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