caa a22 4500 44536324X CHVBK 20180317142921.0 cr unu---uuuuu 170323e20111201xx s 000 0 eng 10.1007/s00780-010-0136-6 doi (NATIONALLICENCE)springer-10.1007/s00780-010-0136-6 Fukasawa Masaaki Center for the Study of Finance and Insurance, Osaka University, 1-3 Machikaneyama-cho, Toyonaka, 560-8531, Osaka, Japan aut Asymptotic analysis for stochastic volatility: martingale expansion [Elektronische Daten] [Masaaki Fukasawa] A general class of stochastic volatility models with jumps is considered and an asymptotic expansion for European option prices around the Black-Scholes prices is validated in the light of Yoshida's martingale expansion theory. Several known formulas of regular and singular perturbation expansions are obtained as corollaries. An expansion formula for the Black-Scholes implied volatility is given which explains the volatility skew and term structure. The leading term of the expansion is always an affine function of log moneyness, while the term structure of the coefficients depends on the details of the underlying stochastic volatility model. Several specific models which represent various types of term structure are studied. Springer-Verlag, 2010 Asymptotic expansion nationallicence Fast mean reversion nationallicence Fractional Brownian motion nationallicence Jump-diffusion nationallicence Partial Malliavin calculus nationallicence Yoshida's formula nationallicence Finance and Stochastics Springer-Verlag 15/4(2011-12-01), 635-654 0949-2984 15:4<635 2011 15 780 https://doi.org/10.1007/s00780-010-0136-6 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00780-010-0136-6 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Fukasawa Masaaki Center for the Study of Finance and Insurance, Osaka University, 1-3 Machikaneyama-cho, Toyonaka, 560-8531, Osaka, Japan aut NATIONALLICENCE 773 0- Finance and Stochastics Springer-Verlag 15/4(2011-12-01), 635-654 0949-2984 15:4<635 2011 15 780 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer