ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS (Q4916238)
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scientific article; zbMATH DE number 6156056
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS |
scientific article; zbMATH DE number 6156056 |
Statements
ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS (English)
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22 April 2013
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exponential Lévy processes
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short-time asymptotics
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long-time asymptotics
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implied volatility
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Lewis-Lipton formula
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