Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps (Q331361): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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| Property / zbMATH DE Number: 6644328 / rank | |||
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exponential Lévy models | |||
| Property / zbMATH Keywords: exponential Lévy models / rank | |||
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stochastic volatility models | |||
| Property / zbMATH Keywords: stochastic volatility models / rank | |||
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short-term asymptotics | |||
| Property / zbMATH Keywords: short-term asymptotics / rank | |||
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ATM implied volatility slope | |||
| Property / zbMATH Keywords: ATM implied volatility slope / rank | |||
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ATM digital call option prices | |||
| Property / zbMATH Keywords: ATM digital call option prices / rank | |||
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Revision as of 04:11, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps |
scientific article |
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Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps (English)
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27 October 2016
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exponential Lévy models
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stochastic volatility models
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short-term asymptotics
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ATM implied volatility slope
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ATM digital call option prices
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