Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely: In a unified model-free framework that includes long-expiry, short-expiry, extreme-strike, and jointly-varying strike-expiry regimes,  generate implied volatility and implied variance approximations, with rigorous error estimates asymptotically smaller than any given por of L, where L denotes the exogenously given absolute log of an option price that approaches zero. Our results, therefore, sharpen to arbitrarily high order of accuracy (and, moreover, extend to general extreme regimes) the model-free asymptotics of implied volatility.  then apply these general formulas to particular examples: Heston (using a previously known L expansion) and Levy (using saddlepoint methods to derive L expansions). Copyright Springer-Verlag Berlin Heidelberg 2014
['Kun Gao', 'Roger Lee']
I am writing a research paper on a idea Asymptotics of Implied Volatility to Arbitrary Order
[{"from": "human", "value": "I am writing a research paper on a idea Asymptotics of Implied Volatility to Arbitrary Order"}, {"from": "gpt", "value": "Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely: In a unified model-free framework that includes long-expiry, short-expiry, extreme-strike, and jointly-varying strike-expiry regimes,  generate implied volatility and implied variance approximations, with rigorous error estimates asymptotically smaller than any given por of L, where L denotes the exogenously given absolute log of an option price that approaches zero. Our results, therefore, sharpen to arbitrarily high order of accuracy (and, moreover, extend to general extreme regimes) the model-free asymptotics of implied volatility.  then apply these general formulas to particular examples: Heston (using a previously known L expansion) and Levy (using saddlepoint methods to derive L expansions). Copyright Springer-Verlag Berlin Heidelberg 2014"}]