Roger Lee

University of Chicago

5734 S University Ave

Chicago, IL 60637

United States

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SCHOLARLY PAPERS

3

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1,754

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Scholarly Papers (3)

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1.

Asymptotics of Implied Volatility to Arbitrary Order

Number of pages: 29 Posted: 26 Feb 2011

Kun Gao and Roger Lee

University of Chicago and University of Chicago

Downloads 1,481 (24,026)

Citation 16

Abstract:

2.

How Leverage Shifts and Scales a Volatility Skew: Asymptotics for Continuous and Jump Dynamics

Number of pages: 15 Posted: 22 Jun 2015

Roger Lee and ruming wang

University of Chicago and University of Chicago

Downloads 273 (205,706)

Citation 2

Abstract:

3.

Volatility Derivatives

Posted: 04 Jun 2010

Peter Carr and Roger Lee

New York University Finance and Risk Engineering and University of Chicago

Abstract:

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