Pages that link to "Item:Q4682702"
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The following pages link to Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models (Q4682702):
Displaying 10 items.
- Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility (Q261928) (← links)
- Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps (Q331361) (← links)
- Small-maturity digital options in Lévy models: an analytic approach (Q493621) (← links)
- The value of power-related options under spectrally negative Lévy processes (Q2047039) (← links)
- Extreme at-the-money skew in a local volatility model (Q2274223) (← links)
- Asymptotics of Implied Volatility far from Maturity (Q3182423) (← links)
- SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW (Q4634637) (← links)
- Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime (Q5014187) (← links)
- Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model (Q5093724) (← links)
- Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure (Q5144187) (← links)
