Implied Volatility of Basket Options at Extreme Strikes (Q4560331): Difference between revisions

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+.0394
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+On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
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+ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS
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+Asymptotics of sums of lognormal random variables with Gaussian copula
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+Interest rate model calibration using semidefinite Programming
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+Processes of normal inverse Gaussian type
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+Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets
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+Smile Asymptotics II: Models with Known Moment Generating Functions
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+REGULAR VARIATION AND SMILE ASYMPTOTICS
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+Smart expansion and fast calibration for jump diffusions
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+Asymptotics and calibration of local volatility models
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+Q3412547
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+EQUITY CORRELATIONS IMPLIED BY INDEX OPTIONS: ESTIMATION AND MODEL UNCERTAINTY ANALYSIS
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+Shapes of Implied Volatility with Positive Mass at Zero
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+The Small-Maturity Smile for Exponential Lévy Models
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+SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
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+The large-maturity smile for the Heston model
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+Asymptotics of implied volatility to arbitrary order
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+Asymptotic behavior of tail density for sum of correlated lognormal variables
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+Time Dependent Heston Model
@@ Property / cites work: Time Dependent Heston Model / rank @@
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+Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
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+ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE
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+Analytically tractable stochastic stock price models.
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+LEFT-WING ASYMPTOTICS OF THE IMPLIED VOLATILITY IN THE PRESENCE OF ATOMS
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+Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
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+Tail behavior of sums and differences of log-normal random variables
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+On multivariate Gaussian tails
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+Coupling index and stocks
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+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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+Q4942767
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+A multivariate jump-driven financial asset model
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+A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS
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+An introduction to copulas. Properties and applications
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+Q4935943
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+Robust Libor Modelling and Pricing of Derivative Products
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+Asymptotics of Implied Volatility far from Maturity
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+Uniform Bounds for Black--Scholes Implied Volatility
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