Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps (Q331361): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60F99 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H30 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H10 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60G51 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
Normal rank | |||
| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6644328 / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
exponential Lévy models | |||
| Property / zbMATH Keywords: exponential Lévy models / rank | |||
Normal rank | |||
| 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 | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
ATM implied volatility slope | |||
| Property / zbMATH Keywords: ATM implied volatility slope / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
ATM digital call option prices | |||
| Property / zbMATH Keywords: ATM digital call option prices / rank | |||
Normal rank | |||
Revision as of 05:11, 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 |
Statements
Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps (English)
0 references
27 October 2016
0 references
exponential Lévy models
0 references
stochastic volatility models
0 references
short-term asymptotics
0 references
ATM implied volatility slope
0 references
ATM digital call option prices
0 references
