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- W3124459768 abstract "This paper is concerned with the study of the asymptotic behavior of the implied volatility (IV) and its derivatives with respect to strike and maturity. We consider a multivariate model driven by a stochastic process that, locally, is a diffusion in the sense of Stroock and Varadhan (1979) and Friedman (1975, 1976). Our main result is a rigorous derivation of the exact Taylor formula of the IV in a parabolic region close to expiry and at the money (ATM)." @default.
- W3124459768 created "2021-02-01" @default.
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- W3124459768 date "2015-10-20" @default.
- W3124459768 modified "2023-09-27" @default.
- W3124459768 title "The Parabolic Taylor Formula of the Implied Volatility" @default.
- W3124459768 hasPublicationYear "2015" @default.
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