Extrapolation Analytics for Dupire’s Local Volatility (Q4560335): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/978-3-319-11605-1_10
+Normal rank
@@ Property / OpenAlex ID @@
+W950903826
@@ Property / OpenAlex ID: W950903826 / rank @@
+Normal rank
@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+From local volatility to local Lévy models
@@ Property / cites work: From local volatility to local Lévy models / rank @@
+Normal rank
@@ Property / cites work @@
+Marking in combinatorial constructions: Generating functions and limiting distributions
+Normal rank
@@ Property / cites work @@
+Singularity Analysis of Generating Functions
@@ Property / cites work: Singularity Analysis of Generating Functions / rank @@
+Normal rank
@@ Property / cites work @@
+On refined volatility smile expansion in the Heston model
+Normal rank
@@ Property / cites work @@
+How to make Dupire’s local volatility work with jumps
+Normal rank
@@ Property / cites work @@
+Convergence of Heston to SVI
@@ Property / cites work: Convergence of Heston to SVI / rank @@
+Normal rank
@@ Property / cites work @@
+MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
+Normal rank