Generalized Arbitrage-Free SVI Volatility Surfaces (Q2819096): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W3122993983
@@ Property / OpenAlex ID: W3122993983 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.7111
@@ Property / arXiv ID: 1210.7111 / rank @@
+Normal rank
@@ Property / cites work @@
+REGULAR VARIATION AND SMILE ASYMPTOTICS
@@ Property / cites work: REGULAR VARIATION AND SMILE ASYMPTOTICS / rank @@
+Normal rank
@@ Property / cites work @@
+Computing the implied volatility in stochastic volatility models
+Normal rank
@@ Property / cites work @@
+PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
@@ Property / cites work: PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS / rank @@
+Normal rank
@@ Property / cites work @@
+Local martingales, bubbles and option prices
@@ Property / cites work: Local martingales, bubbles and option prices / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage-free smoothing of the implied volatility surface
+Normal rank
@@ Property / cites work @@
+On refined volatility smile expansion in the Heston model
+Normal rank
@@ Property / cites work @@
+Arbitrage-free SVI volatility surfaces
@@ Property / cites work: Arbitrage-free SVI volatility surfaces / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
+Normal rank
@@ Property / cites work @@
+Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Comparison results for stochastic volatility models via coupling
+Normal rank
@@ Property / cites work @@
+Implied Volatility in Strict Local Martingale Models
+Normal rank
@@ Property / cites work @@
+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
+Normal rank
@@ Property / cites work @@
+Analysis of continuous strict local martingales via \(h\)-transforms
+Normal rank
@@ Property / cites work @@
+OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
+Normal rank
@@ Property / cites work @@
+Can the implied volatility surface move by parallel shifts?
+Normal rank