Pages that link to "Item:Q4916238"
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The following pages link to ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS (Q4916238):
Displaying 31 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)
- The asymptotic smile of a multiscaling stochastic volatility model (Q681999) (← links)
- Numerical solution of time-fractional Black-Scholes equation (Q1699377) (← links)
- Lévy-Ito models in finance (Q2039766) (← links)
- Static hedging under maturity mismatch (Q2516768) (← links)
- Closed-form implied volatility surfaces for stochastic volatility models with jumps (Q2658792) (← links)
- Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation (Q2675813) (← links)
- Lévy information and the aggregation of risk aversion (Q2831278) (← links)
- REDUCED-ORDER MODELS FOR THE IMPLIED VARIANCE UNDER LOCAL VOLATILITY (Q2939925) (← links)
- Uniform Bounds for Black--Scholes Implied Volatility (Q2953944) (← links)
- Short Maturity Asian Options in Local Volatility Models (Q2953946) (← links)
- DETERMINATION OF THE LÉVY EXPONENT IN ASSET PRICING MODELS (Q3121231) (← links)
- OLD PROBLEMS, CLASSICAL METHODS, NEW SOLUTIONS (Q3304213) (← links)
- Implied Volatility of Basket Options at Extreme Strikes (Q4560331) (← links)
- Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models (Q4682702) (← links)
- SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL (Q5056615) (← 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)
- FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES (Q5247426) (← links)
- Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models (Q5250042) (← links)
- Asymptotics of Forward Implied Volatility (Q5250047) (← links)
- SHORT-TIME IMPLIED VOLATILITY IN EXPONENTIAL LÉVY MODELS (Q5265240) (← links)
- Third-order short-time expansions for close-to-the-money option prices under the CGMY model (Q5373916) (← links)
- Large-maturity regimes of the Heston forward smile (Q5965371) (← links)
- Closed-form option pricing for exponential Lévy models: a residue approach (Q6158398) (← links)
- The economics of time as it is embedded in the prices of options§ (Q6158421) (← links)
- Multivariate exponential power Lévy processes and random fields (Q6165361) (← links)
- A Monte Carlo algorithm for the extrema of tempered stable processes (Q6198071) (← links)
- Short-time implied volatility of additive normal tempered stable processes (Q6549591) (← links)
- Efficient evaluation of double-barrier options (Q6633865) (← links)
