5 citations · 9 across the 2 of their papers we have counts for
Showing math.PRShow all
2 papers · 1 filter
math.PR2006★ 5 cited
Smile Asymptotics II: Models with Known Moment Generating Function
Shalom Benaim, Peter Friz
In a recent article the authors obtained a formula which relates explicitly the tail of risk neutral returns with the wing behavior of the Black Scholes implied volatility smile. I…
math.PR2006★ 4 cited
Regular Variation and Smile Asymptotics
Shalom Benaim, Peter Friz
We consider risk-neutral returns and show how their tail asymptotics translate directly to asymptotics of the implied volatility smile, thereby sharpening Roger Lee's celebrated mo…