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- W4231701820 abstract "The tail of risk neutral returns can be related explicitly with the wing behaviour of the Black-Scholes implied volatility smile. In situations where precise tail asymptotics are unknown but a moment generating function is available we establish, under easy-to-check Tauberian conditions, tail asymptotics on logarithmic scales. Such asymptotics are enough to make the tail-wing formula (see Benaim and Friz (2008)) work and so we obtain, under generic conditions, a limiting slope when plotting the square of the implied volatility against the log strike, improving a lim sup statement obtained earlier by Lee (2004). We apply these results to time-changed exponential Lévy models and examine several popular models in more detail, both analytically and numerically." @default.
- W4231701820 created "2022-05-12" @default.
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- W4231701820 date "2008-03-01" @default.
- W4231701820 modified "2023-09-25" @default.
- W4231701820 title "Smile Asymptotics II: Models with Known Moment Generating Functions" @default.
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- W4231701820 doi "https://doi.org/10.1017/s0021900200003922" @default.
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