From Moment Explosion to the Asymptotic Behavior of the Cumulative Distribution for a Random Variable

DOI10.1137/S0040585X97T988228zbMath1383.60018arXiv1203.4213MaRDI QIDQ5369323

Sidi Mohamed Ould Aly

Publication date: 16 October 2017

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.4213

zbMATH Keywords

regular variationTauberian theoremsmoment generating functionCIR processtail asymptotic

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Probability distributions: general theory (60E05) Stochastic integrals (60H05)

Cites Work

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• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• On refined volatility smile expansion in the Heston model
• Smile Asymptotics II: Models with Known Moment Generating Functions
• An affine property of the reciprocal Asian option process

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