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

@@ Property / DOI @@
-.1007/s00780-016-0313-3
@@ Property / DOI: 10.1007/s00780-016-0313-3 / rank @@
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+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
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+F99
@@ Property / Mathematics Subject Classification ID: 60F99 / rank @@
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+H30
@@ Property / Mathematics Subject Classification ID: 60H30 / rank @@
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+H10
@@ Property / Mathematics Subject Classification ID: 60H10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G51
@@ Property / Mathematics Subject Classification ID: 60G51 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
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@@ Property / zbMATH DE Number @@
+6644328
@@ Property / zbMATH DE Number: 6644328 / rank @@
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@@ Property / zbMATH Keywords @@
+exponential Lévy models
@@ Property / zbMATH Keywords: exponential Lévy models / rank @@
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@@ Property / zbMATH Keywords @@
+stochastic volatility models
@@ Property / zbMATH Keywords: stochastic volatility models / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+short-term asymptotics
@@ Property / zbMATH Keywords: short-term asymptotics / rank @@
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@@ Property / zbMATH Keywords @@
+ATM implied volatility slope
@@ Property / zbMATH Keywords: ATM implied volatility slope / rank @@
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@@ Property / zbMATH Keywords @@
+ATM digital call option prices
@@ Property / zbMATH Keywords: ATM digital call option prices / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W2171077583
@@ Property / OpenAlex ID: W2171077583 / rank @@
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@@ Property / arXiv ID @@
+.02595
@@ Property / arXiv ID: 1502.02595 / rank @@
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@@ Property / cites work @@
+Estimating the degree of activity of jumps in high frequency data
+Normal rank
@@ Property / cites work @@
+Is Brownian motion necessary to model high-frequency data?
+Normal rank
@@ Property / cites work @@
+On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
+Normal rank
@@ Property / cites work @@
+ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS
+Normal rank
@@ Property / cites work @@
+Q3457552
@@ Property / cites work: Q3457552 / rank @@
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@@ Property / cites work @@
+Q4223075
@@ Property / cites work: Q4223075 / rank @@
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
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@@ Property / cites work @@
+Skewness premium with Lévy processes
@@ Property / cites work: Skewness premium with Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+The Small-Maturity Smile for Exponential Lévy Models
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+HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS
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+Small-time expansions for the transition distributions of Lévy processes
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+Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
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@@ Property / cites work @@
+Short-time at-the-money skew and rough fractional volatility
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+Asymptotics of implied volatility to arbitrary order
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+Volatility is rough
@@ Property / cites work: Volatility is rough / rank @@
+Normal rank
@@ Property / cites work @@
+Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models
+Normal rank
@@ Property / cites work @@
+Foundations of Modern Probability
@@ Property / cites work: Foundations of Modern Probability / rank @@
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@@ Property / cites work @@
+Q3107590
@@ Property / cites work: Q3107590 / rank @@
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+Option pricing using variance gamma Markov chains
@@ Property / cites work: Option pricing using variance gamma Markov chains / rank @@
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+Q4672379
@@ Property / cites work: Q4672379 / rank @@
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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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@@ Property / cites work @@
+Asymptotic results for time-changed Lévy processes sampled at hitting times
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@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing and Hedging in Exponential Lévy Models: Review of Recent Results
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@@ Property / cites work @@
+The implied volatility smirk
@@ Property / cites work: The implied volatility smirk / rank @@
+Normal rank
@@ Property / cites work @@
+Q3673748
@@ Property / cites work: Q3673748 / rank @@
+Normal rank
@@ Property / DOI @@
+.1007/S00780-016-0313-3
@@ Property / DOI: 10.1007/S00780-016-0313-3 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:331361