Extrapolation Analytics for Dupire’s Local Volatility (Q4560335): Difference between revisions

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+The Variance Gamma Process and Option Pricing
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+Normal rank
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+From local volatility to local Lévy models
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+Marking in combinatorial constructions: Generating functions and limiting distributions
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+Singularity Analysis of Generating Functions
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+On refined volatility smile expansion in the Heston model
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+How to make Dupire’s local volatility work with jumps
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+Convergence of Heston to SVI
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+MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
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+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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