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q-fin.PR2026
Short-term barrier option price expansion
Masaaki Fukasawa
We derive a short-maturity expansion for up-and-out put barrier option prices under continuous stochastic volatility when the strike and the barrier approach the spot at the diffus…
q-fin.PR2026
Basket implied volatility skew and stickiness
Masaaki Fukasawa, Jun Maeda, Tatsuya Ogiwara
We study the short-maturity implied volatility and the skew stickiness ratio for baskets of assets with continuous, possibly rough, stochastic volatility. The fluctuation of the in…
q-fin.PR2026
Yet another asymptotic formula for implied volatility
Masaaki Fukasawa
We derive a first-order representation of Black-Scholes implied variance in a continuous local martingale model. Total implied variance is the conditional expectation of the quadra…