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Tagged with asymptotics option-pricing
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Asymptotic behavior of implied volatility at probability mass [closed]
For sake of simplicity, let us suppose that interest rate is zero, stock price is 1, and time to expiry is 1. I am interested in implied volatility that gives the following put price.
$$P(k, \sigma(k))...
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Asymptotics of Call Option as $S\to0$
Let $C(S)$ denote the (initial) value of a call option with underlying spot price $S$. I assume that the underlying has continuous sample paths (not necessarily a geometric Brownian motion though).
As ...
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