HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS (Q5739188): Difference between revisions

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-Christian Houdré
@@ Property / author: Christian Houdré / rank @@
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+Christian Houdré
@@ Property / author: Christian Houdré / rank @@
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+MaRDI publication profile
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+W2114593441
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+.5520
@@ Property / arXiv ID: 1208.5520 / rank @@
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@@ Property / cites work @@
+Estimating the degree of activity of jumps in high frequency data
+Normal rank
@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+Spectral estimation of the fractional order of a Lévy process
+Normal rank
@@ Property / cites work @@
+Computing the implied volatility in stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Saddlepoint methods for option pricing
@@ Property / cites work: Saddlepoint methods for option pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model
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+Small-time asymptotics for fast mean-reverting stochastic volatility models
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@@ Property / cites work @@
+The Small-Maturity Smile for Exponential Lévy Models
+Normal rank
@@ Property / cites work @@
+Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
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@@ Property / cites work @@
+SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
+Normal rank
@@ Property / cites work @@
+Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
+Normal rank
@@ Property / cites work @@
+The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model
+Normal rank
@@ Property / cites work @@
+Asymptotics of implied volatility to arbitrary order
+Normal rank
@@ Property / cites work @@
+ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+Analysis, Geometry, and Modeling in Finance
@@ Property / cites work: Analysis, Geometry, and Modeling in Finance / rank @@
+Normal rank
@@ Property / cites work @@
+Remarks on deviation inequalities for functions of infinitely divisible random vectors
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@@ Property / cites work @@
+Asymptotic properties of power variations of Lévy processes
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
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+Option Pricing With V. G. Martingale Components<sup>1</sup>
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@@ Property / cites work @@
+FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
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@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
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@@ Property / cites work @@
+Small-Time Asymptotics of Option Prices and First Absolute Moments
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@@ Property / cites work @@
+Asymptotic results for time-changed Lévy processes sampled at hitting times
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@@ Property / cites work @@
+Tempering stable processes
@@ Property / cites work: Tempering stable processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5739188