On Black-Scholes Implied Volatility at Extreme Strikes

Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling

Volumn , Issue , 2012, Pages 19-45

  Benaim, Shalom ^a   Friz, Peter ^b   Lee, Roger ^c  

^a RBOS ^*  (United Kingdom)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^c UNIVERSITY OF CHICAGO   (United States)

Author keywords

Call prices; Cumulative distribution function; Implied volatility; Moment formula; Tail wing formula

Indexed keywords

EID: 84888654687     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1002/9781118266915.ch2     Document Type: Chapter

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