Refined wing asymptotics for the Merton and Kou jump diffusion models

Stefan Gerhold, Johannes F. Morgenbesser, and Axel Zrunek. "Refined wing asymptotics for the Merton and Kou jump diffusion models." Banach Center Publications 104.1 (2015): 85-94. <http://eudml.org/doc/282467>.

@article{StefanGerhold2015,
abstract = {Refining previously known estimates, we give large-strike asymptotics for the implied volatility of Merton's and Kou's jump diffusion models. They are deduced from call price approximations by transfer results of Gao and Lee. For the Merton model, we also analyse the density of the underlying and show that it features an interesting "almost power law" tail.},
author = {Stefan Gerhold, Johannes F. Morgenbesser, Axel Zrunek},
journal = {Banach Center Publications},
keywords = {implied volatility; jump diffusion; Kou model; Merton model; saddle point method},
language = {eng},
number = {1},
pages = {85-94},
title = {Refined wing asymptotics for the Merton and Kou jump diffusion models},
url = {http://eudml.org/doc/282467},
volume = {104},
year = {2015},
}

TY - JOUR
AU - Stefan Gerhold
AU - Johannes F. Morgenbesser
AU - Axel Zrunek
TI - Refined wing asymptotics for the Merton and Kou jump diffusion models
JO - Banach Center Publications
PY - 2015
VL - 104
IS - 1
SP - 85
EP - 94
AB - Refining previously known estimates, we give large-strike asymptotics for the implied volatility of Merton's and Kou's jump diffusion models. They are deduced from call price approximations by transfer results of Gao and Lee. For the Merton model, we also analyse the density of the underlying and show that it features an interesting "almost power law" tail.
LA - eng
KW - implied volatility; jump diffusion; Kou model; Merton model; saddle point method
UR - http://eudml.org/doc/282467
ER -