# Asymptotic formulas for pricing functions and the implied volatility at extreme strikes

ARGOMENTI: Seminari

Giovedi' 10 dicembre alle ore 11.00 nell'aula 2BC/30 TA il prof. Archil Gulisashvili (Ohio University) terra' un seminario dal titolo "Asymptotic formulas for pricing functions and the implied volatility at extreme strikes".

-Abstract
This work is devoted to sharp asymptotic formulas with error estimates for call and put pricing functions and for the implied volatility in general stochastic stock price models. We found an asymptotic formula linking the implied volatility and the call pricing function in a very general setting. This formula implies several known results for the implied volatility, e.g., Lee's moment formulas and the tail-wing formulas of Benaim and Friz. We also obtained sharp asymptotic formulas with error estimates for the stock price distribution density in the Hull-White, Stein-Stein, and Heston models.

Rif. int. T. Vargiolu