Roger Lee

University of Chicago

5734 S University Ave

Chicago, IL 60637

United States

SCHOLARLY PAPERS

4

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CITATIONS
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in Total Papers Citations

41

Scholarly Papers (4)

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 1,323 (13,966)
Citation 24

Abstract:

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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 153 (190,058)
Citation 1

Abstract:

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3.

Put-Call Symmetry: Extensions and Applications

Mathematical Finance, Vol. 19, Issue 4, pp. 523-560, October 2009
Number of pages: 38 Posted: 21 Oct 2009
Peter Carr and Roger Lee
New York University Finance and Risk Engineering and University of Chicago
Downloads 3 (621,476)
Citation 19
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Abstract:

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4.

Volatility Derivatives

Annual Review of Financial Economics, Vol. 1, pp. 319-339, 2009
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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