ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE (Q2892978): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE	scientific article

Statements

instance of

scholarly article

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title

ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE (English)

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zbMATH Open document ID

1241.91114

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DOI

10.1142/S0219024912500203

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author

Archil Gulisashvili

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published in

International Journal of Theoretical and Applied Finance

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publication date

25 June 2012

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Mathematics Subject Classification ID

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call and put pricing functions

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implied volatility

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sharp asymptotic formulas

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Lee's moment formulas

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Piterbarg's conjecture

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MaRDI profile type

MaRDI publication profile

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REGULAR VARIATION AND SMILE ASYMPTOTICS

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Smile Asymptotics II: Models with Known Moment Generating Functions

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Financial Modelling with Jump Processes

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On the existence of a regularly varying majorant of an integrable monotone function

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Two singular diffusion problems

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Semiparametric modeling of implied volatility.

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Q4509488

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On refined volatility smile expansion in the Heston model

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A survey and some generalizations of Bessel processes

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Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes

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IMPLIED VOLATILITY IN THE HULL-WHITE MODEL

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ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I

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Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models

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Analysis, Geometry, and Modeling in Finance

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Q4894945

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A Jump-Diffusion Model for Option Pricing

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Q5754578

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THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES

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A Stochastic Volatility Alternative to SABR

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Q4301585

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Q3717907

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2892978

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+Smile Asymptotics II: Models with Known Moment Generating Functions
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+Financial Modelling with Jump Processes
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+On the existence of a regularly varying majorant of an integrable monotone function
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+Two singular diffusion problems
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+On refined volatility smile expansion in the Heston model
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+A survey and some generalizations of Bessel processes
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@@ Property / cites work @@
+Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
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+IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
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+ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I
+Normal rank
@@ Property / cites work @@
+Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Analysis, Geometry, and Modeling in Finance
@@ Property / cites work: Analysis, Geometry, and Modeling in Finance / rank @@
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@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Q4894945
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+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
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@@ Property / cites work @@
+Q5754578
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@@ Property / cites work @@
+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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@@ Property / cites work @@
+A Stochastic Volatility Alternative to SABR
@@ Property / cites work: A Stochastic Volatility Alternative to SABR / rank @@
+Normal rank
@@ Property / cites work @@
+Q4301585
@@ Property / cites work: Q4301585 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3717907
@@ Property / cites work: Q3717907 / rank @@
+Normal rank