Refined wing asymptotics for the Merton and Kou jump diffusion models

• Autorzy: Stefan Gerhold , Johannes F. Morgenbesser , Axel Zrunek
• Języki publikacji: EN

Abstrakty

EN

Refining previously known estimates, we give large-strike asymptotics for the implied volatility of Merton's and Kou's jump diffusion models. They are deduced from call price approximations by transfer results of Gao and Lee. For the Merton model, we also analyse the density of the underlying and show that it features an interesting "almost power law" tail.

Kategorie tematyczne

• 91G20: Derivative securities
• 41A60: Asymptotic approximations, asymptotic expansions (steepest descent, etc.)

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2015
• Tom: 104
• Numer: 1
• Strony: 85-94

Daty

wydano

2015

Twórcy

autor

Stefan Gerhold

• Vienna University of Technology, Wiedner Hauptstraße 8-10/105-1, A-1040 Vienna, Austria

autor

Johannes F. Morgenbesser

• University of Vienna, Oskar-Morgenstern-Platz 1, A-1090 Vienna, Austria

autor

Axel Zrunek

• Vienna University of Technology, Wiedner Hauptstraße 8-10/105-1, A-1040 Vienna, Austria

Identyfikatory

DOI

10.4064/bc104-0-4