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haZim
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Joined: January 7th, 2007, 6:13 pm

Implied volatility polynomials.

October 26th, 2007, 5:45 pm

I was wondering whether anyone knows of a polynomial for the implied volatility with cofeiccients dependent on the volatility process' parameters but which holds INDEPENDENTLY OF MATURITY. All approximations I was able to find made the assumption that the maturity was small (eg. Alan Lewis nice approach). I would need one for not so small maturity as well. Anyone?