BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Mathematical Finance - ECPv5.7.0//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
BEGIN:VTIMEZONE
TZID:America/Chicago
BEGIN:DAYLIGHT
TZOFFSETFROM:-0600
TZOFFSETTO:-0500
TZNAME:CDT
DTSTART:20240310T080000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:-0500
TZOFFSETTO:-0600
TZNAME:CST
DTSTART:20241103T070000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240216T120000
DTEND;TZID=America/Chicago:20240216T130000
DTSTAMP:20260405T023236
CREATED:20231114T173843Z
LAST-MODIFIED:20231116T214834Z
UID:1217-1708084800-1708088400@www.math.ttu.edu
SUMMARY:On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model
DESCRIPTION:Speaker: Makar Pravosud\, Department of Economics and Business\, Universitat Pompeu Fabra \nAbstract:  In this paper we study the short-time behavior of the at-the-money implied volatility for European and arithmetic Asian call options with fixed strike price. The asset price is assumed to follow the Bachelier model with a general stochastic volatility process. Using techniques of the Malliavin calculus such as the anticipating Itô’s formula we first compute the level of the implied volatility when the maturity converges to zero. Then\, we find a short maturity asymptotic formula for the skew of the implied volatility that depends on the roughness of the volatility model. We apply our general results to the SABR and fractional Bergomi models\, and provide some numerical simulations that confirm the accurateness of the asymptotic formula for the skew.
URL:https://www.math.ttu.edu/mathematicalfinance/event/on-the-implied-volatility-of-european-and-asian-call-options-under-the-stochastic-volatility-bachelier-model/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/11/Pravosud-1.jpg
END:VEVENT
END:VCALENDAR