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    Option pricing in the moderate deviations regime
    (Oxford [u.a.] : Wiley-Blackwell, 2017) Friz, Peter; Gerhold, Stefan; Pinter, Arpad
    We consider call option prices close to expiry in diffusion models, in an asymptotic regime (“moderately out of the money”) that interpolates between the well-studied cases of at-the-money and out-of-the-money regimes. First and higher order small-time moderate deviation estimates of call prices and implied volatilities are obtained. The expansions involve only simple expressions of the model parameters, and we show how to calculate them for generic local and stochastic volatility models. Some numerical computations for the Heston model illustrate the accuracy of our results.
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    Asymptotic expansions of the contact angle in nonlocal capillarity problems
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2016) Dipierro, Serena; Maggi, Francesco; Valdinoci, Enrico
    We consider a family of nonlocal capillarity models, where surface tension is modeled by exploiting a family of fractional interaction kernels The fractional Young's law (contact angle condition) predicted by these models coincides, in the limit, with the classical Young's law determined by the Gauss free energy. Here we refine this asymptotics by showing that, for s close to 1, the fractional contact angle is always smaller than its classical counterpart when the relative adhesion coefficient is negative, and larger if it is positive. In addition, we address the asymptotics of the fractional Young's law in the limit case s close to 0 of interaction kernels with heavy tails. Interestingly, forsmall s, the dependence of the contact angle from the relative adhesion coefficient becomes linear.