Small-time expansions for local jump-diffusion models with infinite jump activity (Q395997): Difference between revisions

@@ Property / arXiv ID @@
+.3386
@@ Property / arXiv ID: 1108.3386 / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for jumps in a discretely observed process
+Normal rank
@@ Property / cites work @@
+Is Brownian motion necessary to model 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 @@
+Computing the implied volatility in stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Q3996311
@@ Property / cites work: Q3996311 / rank @@
+Normal rank
@@ Property / cites work @@
+Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model
+Normal rank
@@ 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
+Normal rank
@@ Property / cites work @@
+Small-time expansions for the transition distributions of Lévy processes
+Normal rank
@@ Property / cites work @@
+Small-time expansions for local jump-diffusion models with infinite jump activity
+Normal rank
@@ Property / cites work @@
+Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
+Normal rank
@@ Property / cites work @@
+ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+Asymptotic behavior of the transition density for jump type processes in small time
+Normal rank
@@ Property / cites work @@
+Density estimate in small time for jump processes with singular Lévy measures
+Normal rank
@@ Property / cites work @@
+Q4725453
@@ Property / cites work: Q4725453 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4114577
@@ Property / cites work: Q4114577 / rank @@
+Normal rank
@@ Property / cites work @@
+American and European options in multi-factor jump-diffusion models, near expiry
+Normal rank
@@ Property / cites work @@
+Small time expansions for transition probabilities of some Lévy processes
+Normal rank
@@ Property / cites work @@
+Small-Time Asymptotics of Option Prices and First Absolute Moments
+Normal rank
@@ Property / cites work @@
+Q4842684
@@ Property / cites work: Q4842684 / rank @@
+Normal rank
@@ Property / cites work @@
+Applied stochastic control of jump diffusions.
@@ Property / cites work: Applied stochastic control of jump diffusions. / rank @@
+Normal rank
@@ Property / cites work @@
+On the existence of smooth densities for jump processes
+Normal rank
@@ Property / cites work @@
+Density in small time at accessible points for jump processes
+Normal rank
@@ Property / cites work @@
+Q3549479
@@ Property / cites work: Q3549479 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Expansion of transition distributions of Lévy processes in small time
+Normal rank
@@ Property / cites work @@
+Pricing and Hedging in Exponential Lévy Models: Review of Recent Results
+Normal rank
@@ Property / cites work @@
+Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
+Normal rank