On the Black-Scholes Implied Volatility at Extreme Strikes
نویسندگان
چکیده
We survey recent results on the behavior of the Black-Scholes implied volatility at extreme strikes. There are simple and universal formulae that give quantitative links between tail behavior and moment explosions of the underlying on one hand, and growth of the famous volatility smile on the other hand. Some original results are included as well.
منابع مشابه
The Moment Formula for Implied Volatility at Extreme Strikes
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