FSUMATH

Roger Lee


MATHEMATICS COLLOQUIUM

Speaker: Roger Lee
Title: Cumulant Formulas for Implied Volatility
Affiliation: University of Chicago
Date: Friday, March 23, 2018
Place and Time: Room 101, Love Building, 3:35-4:30 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.