55 citations · 103 across the 22 of their papers we have counts for
9 papers · 1 filter
Short-time near-the-money skew in rough fractional volatility models
Christian Bayer, Peter K. Friz, Archil Gulisashvili +2
We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the "rough" regime of Hurst parameter . This regime recentl…
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Archil Gulisashvili, Blanka Horvath, Antoine Jacquier
We study the mass at the origin in the uncorrelated SABR stochastic volatility model, and derive several tractable expressions, in particular when time becomes small or large. As a…
Implied volatility of basket options at extreme strikes
Archil Gulisashvili, Peter Tankov
In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generali…
Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models
Archil Gulisashvili, Josep Vives
In this paper, we obtain sharp asymptotic formulas with error estimates for the Mellin convolution of functions, and use these formulas to characterize the asymptotic behavior of m…
Left-wing asymptotics of the implied volatility in the presence of atoms
Archil Gulisashvili
We consider the asymptotic behavior of the implied volatility in stochastic asset price models with atoms. In such models, the asset price distribution has a singular component at…
Asymptotic equivalence in Lee's moment formulas for the implied volatility and Piterbarg's conjecture
Archil Gulisashvili
The asymptotic behavior of the implied volatility associated with a general call pricing function has been extensively studied in the last decade. The main topics discussed in this…
On refined volatility smile expansion in the Heston model
P. Friz, S. Gerhold, A. Gulisashvili +1
It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment can be obtained by solving (numerically) a simple equation. This…
Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
A. Gulisashvili
In this paper, we obtain asymptotic formulas with error estimates for the implied volatility associated with a European call pricing function. We show that these formulas imply Lee…
Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models
A. Gulisashvili, E. M. Stein
We study the asymptotic behavior of distribution densities arising in stock price models with stochastic volatility. The main objects of our interest in the present paper are the d…