The asymptotic smile of a multiscaling stochastic volatility model (Q681999): Difference between revisions

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+ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS
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+Scaling and Multiscaling in Financial Series: A Simple Model
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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+REGULAR VARIATION AND SMILE ASYMPTOTICS
@@ Property / cites work: REGULAR VARIATION AND SMILE ASYMPTOTICS / rank @@
+Normal rank
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+General Smile Asymptotics with Bounded Maturity
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+Normal rank
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+Multi-scaling of moments in stochastic volatility models
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+Q4391441
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+Multi-scaling in finance
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+Normal rank
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+Asymptotics of implied volatility to arbitrary order
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+Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
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+The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model
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+Black-Scholes in a CEV random environment
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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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+A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS
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+OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
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+ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY
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+Asymptotics of Implied Volatility far from Maturity
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