The log‐moment formula for implied volatility (Q6187368): Difference between revisions

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-.1111/mafi.12396
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+Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
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+REGULAR VARIATION AND SMILE ASYMPTOTICS
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+Smile Asymptotics II: Models with Known Moment Generating Functions
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+THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
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+On the Lambert \(w\) function
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+THE RANGE OF TRADED OPTION PRICES
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+ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS
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+Shapes of Implied Volatility with Positive Mass at Zero
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+Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula
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+Large deviations and asymptotic methods in finance
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+THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE
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+Arbitrage-free SVI volatility surfaces
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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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+LEFT-WING ASYMPTOTICS OF THE IMPLIED VOLATILITY IN THE PRESENCE OF ATOMS
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+Analytically tractable stochastic stock price models.
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+Generalized Arbitrage-Free SVI Volatility Surfaces
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+Implied Volatility in Strict Local Martingale Models
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+Statistical properties of the generalized inverse Gaussian distribution
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+Model-free stochastic collocation for an arbitrage-free implied volatility. I.
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+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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+Correlations and bounds for stochastic volatility models
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+No Arbitrage SVI
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+No arbitrage global parametrization for the eSSVI volatility surface
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+Q4937701
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+.1111/MAFI.12396
@@ Property / DOI: 10.1111/MAFI.12396 / rank @@
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