Approximations of Short Term Options Pricing Under Stochastic Volatility Models with Jumps

SIAM Student Seminar
Friday, October 9, 2009 - 13:00
1 hour (actually 50 minutes)
Skiles 255
School of Mathematics, Georgia Tech
This talk is based on a paper by Medvedev and Scaillet which derives closed form asymptotic expansions for option implied volatilities (and option prices). The model is a two-factor jump-diffusion stochastic volatility one with short time to maturity. The authors derive a power series expansion (in log-moneyness and time to maturity) for the implied volatility of near-the-money options with small time to maturity. In this talk, I will discuss their techniques and results.