University of Chicago
Title: Cumulant formulas for implied volatility
Date: Friday, October 12, 2018 [Postponed to November]
Place and Time: Room 101, Love Building, 3:35-4:25 pm
Refreshments: Room 204, Love Building, 3:00 pm
Abstract. Expressing option prices as Black-Scholes implied volatilities reveals features of the underlying probability distribution. We investigate a manifestation of this idea in a near-Gaussian asymptotic regime, where we rigorously relate the shape of the implied volatility skew to the cumulants of the underlying distribution.