Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models (Q4682702): Difference between revisions

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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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+Pricing under rough volatility
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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 Asymptotic Behavior of Some Functionals of Processes with Independent Increments
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+Stability and attraction to normality for Lévy processes at zero and at infinity
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+Nonparametric estimation for stochastic volatility models
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+Symmetry and duality in Lévy markets
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+The Small-Maturity Smile for Exponential Lévy Models
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+Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
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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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+Mellin transforms and asymptotics: Harmonic sums
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+On refined volatility smile expansion in the Heston model
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+Can there be an explicit formula for implied volatility?
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+Small time central limit theorems for semimartingales with applications
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+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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+Q4672379
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+The Variance Gamma Process and Option Pricing
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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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+Pricing and Hedging in Exponential Lévy Models: Review of Recent Results
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+W2412572825
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