Smile Asymptotics II: Models with Known Moment Generating Functions
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Publication:5459905
DOI10.1239/jap/1208358948zbMath1151.62079arXivmath/0608619OpenAlexW1981168607MaRDI QIDQ5459905
Publication date: 30 April 2008
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0608619
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Cites Work
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- Moment explosions in stochastic volatility models
- Application of Tauberian Theorem to the Exponential Decay of the Tail Probability of a Random Variable
- Normal Variance-Mean Mixtures and z Distributions
- THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
- Financial Modelling with Jump Processes
- Smile Asymptotics II: Models with Known Moment Generating Functions
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