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math.PR2015
The exact Taylor formula of the implied volatility
Stefano Pagliarani, Andrea Pascucci
In a model driven by a multi-dimensional local diffusion, we study the behavior of implied volatility σ and its derivatives with respect to log-strike k and maturity T near expiry…
math.AP2015★ 20 cited
Intrinsic Taylor formula for Kolmogorov-type homogeneous groups
Stefano Pagliarani, Andrea Pascucci, Michele Pignotti
We consider a class of ultra-parabolic Kolmogorov-type operators satisfying the Hormander's condition. We prove an intrinsic Taylor formula with global and local bounds for the rem…