- Series
- SIAM Student Seminar
- Time
- Friday, October 9, 2009 - 1:00pm for 1 hour (actually 50 minutes)
- Location
- Skiles 255
- Speaker
- Allen Hoffmeyer – School of Mathematics, Georgia Tech
- Organizer
- Linwei Xin
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.