Maturity cycles in implied volatility

Finance and Stochastics

Volumn 8, Issue 4, 2004, Pages 451-477

  Fouque, Jean Pierre ^a   Papanicolaou, George ^b   Sircar, Ronnie ^c   Solna, Knut ^d  

^a NORTH CAROLINA STATE UNIVERSITY   (United States)

^b STANFORD UNIVERSITY   (United States)

^c Princeton University   (United States)

^d UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Asymptotic expansions; Fast mean reverting stochastic volatility; Implied volatilities; Maturity cycles

Indexed keywords

EID: 24144488645     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-004-0126-7     Document Type: Article

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