Asymptotics of Implied Volatility far from Maturity
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Publication:3182423
DOI10.1239/jap/1253279843zbMath1195.91166OpenAlexW2044022306MaRDI QIDQ3182423
Publication date: 8 October 2009
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1253279843
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Uses Software
Cites Work
- The large-maturity smile for the Heston model
- Affine processes and applications in finance
- Local martingales, bubbles and option prices
- MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
- Asymptotics of Implied Volatility far from Maturity
- The Variance Gamma Process and Option Pricing
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