Pages that link to "Item:Q3608732"
From MaRDI portal
The following pages link to REGULAR VARIATION AND SMILE ASYMPTOTICS (Q3608732):
Displaying 46 items.
- Asymptotics of implied volatility to arbitrary order (Q468415) (← links)
- The large-maturity smile for the Heston model (Q484212) (← links)
- The asymptotic smile of a multiscaling stochastic volatility model (Q681999) (← links)
- Stability analysis of Riccati differential equations related to affine diffusion processes (Q847047) (← links)
- Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models (Q1959682) (← links)
- Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX index (Q2096157) (← links)
- A Black-Scholes inequality: applications and generalisations (Q2282961) (← links)
- Parametric modeling of implied smile functions: a generalized SVI model (Q2393161) (← links)
- Extreme-strike asymptotics for general Gaussian stochastic volatility models (Q2422124) (← links)
- Can the implied volatility surface move by parallel shifts? (Q2430258) (← links)
- On contingent-claim valuation in continuous-time for volatility models of Ornstein-Uhlenbeck type (Q2511180) (← links)
- Discrete-time approximation of functionals in models of Ornstein-Uhlenbeck type, with applications to finance (Q2516384) (← links)
- Tauberian Korevaar (Q2684664) (← links)
- A new look at short-term implied volatility in asset price models with jumps (Q2788693) (← links)
- Generalized arbitrage-free SVI volatility surfaces (Q2819096) (← links)
- General smile asymptotics with bounded maturity (Q2832614) (← links)
- Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture (Q2892978) (← links)
- The term structure of implied volatility in symmetric models with applications to Heston (Q2909510) (← links)
- Uniform Bounds for Black--Scholes Implied Volatility (Q2953944) (← links)
- The Impact of Jump Distributions on the Implied Volatility of Variance (Q2962130) (← links)
- FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES (Q2986668) (← links)
- Asymptotic formulae for implied volatility in the Heston model (Q2997309) (← links)
- MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS (Q3069958) (← links)
- IMPLIED VOLATILITY IN THE HULL-WHITE MODEL (Q3393973) (← links)
- CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (Q3393976) (← links)
- ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I (Q3576957) (← links)
- Implied Volatility of Basket Options at Extreme Strikes (Q4560331) (← links)
- A General Valuation Framework for SABR and Stochastic Local Volatility Models (Q4579833) (← links)
- Shapes of Implied Volatility with Positive Mass at Zero (Q4607048) (← links)
- Mass at zero in the uncorrelated SABR model and implied volatility asymptotics (Q4619519) (← links)
- Implied Volatility in Strict Local Martingale Models (Q4635246) (← links)
- ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS (Q4916238) (← links)
- A comparison principle between rough and non-rough Heston models—with applications to the volatility surface (Q5139205) (← links)
- LEFT-WING ASYMPTOTICS OF THE IMPLIED VOLATILITY IN THE PRESENCE OF ATOMS (Q5249756) (← links)
- Asymptotics of Forward Implied Volatility (Q5250047) (← links)
- On refined volatility smile expansion in the Heston model (Q5300441) (← links)
- A Stochastic Volatility Alternative to SABR (Q5504162) (← links)
- The Randomized Heston Model (Q5742496) (← links)
- Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications (Q5746487) (← links)
- Large-maturity regimes of the Heston forward smile (Q5965371) (← links)
- State price density estimation with an application to the recovery theorem (Q6039126) (← links)
- Perturbation analysis of sub/super hedging problems (Q6054380) (← links)
- W-shaped implied volatility curves and the Gaussian mixture model (Q6158420) (← links)
- Adiabaticity conditions for volatility smile in Black-Scholes pricing model (Q6176634) (← links)
- The log‐moment formula for implied volatility (Q6187368) (← links)
- Option pricing in sandwiched Volterra volatility model (Q6623043) (← links)
