EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE (Q5114683): Difference between revisions

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+Heat Kernel Method and its Applications
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+Smile Asymptotics II: Models with Known Moment Generating Functions
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+Asymptotics and calibration of local volatility models
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+On the Lambert \(w\) function
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+Shapes of Implied Volatility with Positive Mass at Zero
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+Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
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+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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+ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY
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+HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
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