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Convergence of At-The-Money Implied Volatilities to the Spot Volatility

Name: Convergence of At-The-Money Implied Volatilities to the Spot Volatility
Creator: Valdo Durrleman
Keywords: 0101 mathematics, 16. Peace & justice, 01 natural sciences, 6. Clean water

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2007Publisher:Cambridge University Press (CUP)Journal:Journal of Applied Probability, volume 45, pages 542-550 (issn: 0021-9002, eissn: 1475-6072,

Authors: Valdo Durrleman;

doi: 10.1017/s0021900200004411 , 10.2139/ssrn.1005314 , 10.1239/jap/1214950366

Convergence of At-The-Money Implied Volatilities to the Spot Volatility

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Abstract

We study the convergence of at-the-money implied volatilities to the spot volatility in a general model with a Brownian component and a jump component of finite variation. This result is a consequence of the robustness of the Black-Scholes formula and of the central limit theorem for martingales.

Related Organizations

École Polytechnique
France
French National Centre for Scientific Research
France

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