演講訊息 TALKS

In this talk we start with a brief review on short time asymptotic behavior of implied volatility under various models. Particularly in the case of one dimensional diffusion model, using an expansion of the transition density function, we obtain the first and the second order terms in the short time asymptotics of European call option prices. The method described can be generalized to any order. We then use these option prices approximations to calculate the first order and second order deviation of implied volatility from its leading value and obtain approximation which we numerically demonstrate to be highly accurate. The analysis is extended to degenerate diffusions using probabilistic methods, i.e., the so called principle of no feeling the boundary. This is based on a joint work with Jim Gatheral, Elton Hsu, Peter Laurence, and Cheng Ouyang.