Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps (Q331361): Difference between revisions

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+.02595
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+Estimating the degree of activity of jumps in high frequency data
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+Is Brownian motion necessary to model high-frequency data?
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+On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
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+ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS
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+Financial Modelling with Jump Processes
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+Skewness premium with Lévy processes
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+The Small-Maturity Smile for Exponential Lévy Models
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+HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS
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+Small-time expansions for the transition distributions of Lévy processes
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+Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
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+Short-time at-the-money skew and rough fractional volatility
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+Asymptotics of implied volatility to arbitrary order
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+Volatility is rough
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+Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models
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+A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS
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+Small-Time Asymptotics of Option Prices and First Absolute Moments
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+ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY
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+Asymptotic results for time-changed Lévy processes sampled at hitting times
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+The implied volatility smirk
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