%0 Journal Article
%T General smile asymptotics with bounded maturity
%A Francesco Caravenna
%A Jacopo Corbetta
%J Quantitative Finance
%D 2014
%I arXiv
%X We provide explicit conditions on the distribution of risk-neutral log-returns which yield sharp asymptotic estimates on the implied volatility smile. We allow for a variety of asymptotic regimes, including both small maturity (with arbitrary strike) and extreme strike (with arbitrary bounded maturity), extending previous work of Benaim and Friz [Math. Finance 19 (2009), 1-12]. We present applications to popular models, including Carr-Wu finite moment logstable model, Merton's jump diffusion model and Heston's model.
%U http://arxiv.org/abs/1411.1624v2