HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS (Q5739188): Difference between revisions

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+Estimating the degree of activity of jumps in high frequency data
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+Lévy Processes and Stochastic Calculus
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+Processes of normal inverse Gaussian type
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+Spectral estimation of the fractional order of a Lévy process
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+Computing the implied volatility in stochastic volatility models
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+Saddlepoint methods for option pricing
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+Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model
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+Small-time asymptotics for fast mean-reverting stochastic volatility models
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+The Small-Maturity Smile for Exponential Lévy Models
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+Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
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+SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
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+Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
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+The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model
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+Asymptotics of implied volatility to arbitrary order
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+ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
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+Analysis, Geometry, and Modeling in Finance
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+Remarks on deviation inequalities for functions of infinitely divisible random vectors
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+Asymptotic properties of power variations of Lévy processes
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+A Jump-Diffusion Model for Option Pricing
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+The Variance Gamma Process and Option Pricing
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+Option Pricing With V. G. Martingale Components<sup>1</sup>
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+FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
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+Option pricing when underlying stock returns are discontinuous
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+Small-Time Asymptotics of Option Prices and First Absolute Moments
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+Asymptotic results for time-changed Lévy processes sampled at hitting times
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+Tempering stable processes
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+Q4937701
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