Short-Term At-the-Money Asymptotics under Stochastic Volatility Models (Q4968922): Difference between revisions

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+.08675
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+On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
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+Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
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+Pricing under rough volatility
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+Short-time near-the-money skew in rough fractional volatility models
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+Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
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+Asymptotics for Rough Stochastic Volatility Models
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+Option pricing in the moderate deviations regime
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+Asymptotic analysis for stochastic volatility: martingale expansion
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+THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE
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+Short-time at-the-money skew and rough fractional volatility
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+Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility
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+Asymptotic Behavior of the Fractional Heston Model
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+On validity of the asymptotic expansion approach in contingent claim analysis
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+On the moments of a multiple wiener-ito integral and the space induced by the polynomials of the integral
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+Analytical approximation of the transition density in a local volatility model
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+Malliavin calculus and martingale expansion
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