Shapes of Implied Volatility with Positive Mass at Zero (Q4607048): Difference between revisions

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+REGULAR VARIATION AND SMILE ASYMPTOTICS
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+Systematic equity-based credit risk: A CEV model with jump to default
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+Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula
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+On refined volatility smile expansion in the Heston model
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+THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE
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+Asymptotics of implied volatility to arbitrary order
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+Arbitrage-free SVI volatility surfaces
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+Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
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+ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE
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+LEFT-WING ASYMPTOTICS OF THE IMPLIED VOLATILITY IN THE PRESENCE OF ATOMS
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+IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
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+Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
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+Generalized Arbitrage-Free SVI Volatility Surfaces
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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+Option pricing when underlying stock returns are discontinuous
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+OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
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+Can the implied volatility surface move by parallel shifts?
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+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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