On the Curvature of the Smile in Stochastic Volatility Models (Q5280242): Difference between revisions

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+Elisa Alòs
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+Jorge A. Leon
@@ Property / author: Jorge A. Leon / rank @@
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+MaRDI publication profile
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@@ Property / cites work @@
+On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
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+Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
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+Malliavin differentiability of the Heston volatility and applications to option pricing
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+Pricing under rough volatility
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+Long memory in continuous-time stochastic volatility models
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+Convergence of At-The-Money Implied Volatilities to the Spot Volatility
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+Nonparametric estimation for stochastic volatility models
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+Asymptotic analysis for stochastic volatility: martingale expansion
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+Volatility is rough
@@ Property / cites work: Volatility is rough / rank @@
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@@ Property / cites work @@
+Q3374309
@@ Property / cites work: Q3374309 / rank @@
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@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
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+OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
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+https://doi.org/10.1137/16m1086315
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+W2731785653
@@ Property / OpenAlex ID: W2731785653 / rank @@
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