On the relationship between the call price surface and the implied volatility surface close to expiry

International Journal of Theoretical and Applied Finance

Volumn 12, Issue 4, 2009, Pages 427-441

  Roper, Michael ^a   Rutkowski, Marek ^a  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

Asymptotic and approximate formulae; Black Scholes formula; Implied volatility; Logarithmic limit; Option pricing

Indexed keywords

EID: 68149156984     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024909005336     Document Type: Article

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