Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps (Q331361): Difference between revisions

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+W2171077583
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+.02595
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+Estimating the degree of activity of jumps in high frequency data
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+Is Brownian motion necessary to model high-frequency data?
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+On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
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+ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS
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+Small-time expansions for the transition distributions of Lévy processes
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+Asymptotics of implied volatility to arbitrary order
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+Volatility is rough
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+A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS
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+Small-Time Asymptotics of Option Prices and First Absolute Moments
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+ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY
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