Smile Asymptotics II: Models with Known Moment Generating Functions

DOI10.1239/jap/1208358948zbMath1151.62079arXivmath/0608619MaRDI QIDQ5459905

Peter K. Friz, Shalom Benaim

Publication date: 30 April 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0608619

zbMATH Keywords

implied volatility smile; Tauberian theory; tail-wing formula

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G32: Statistics of extreme values; tail inference

91B70: Stochastic models in economics

60G35: Signal detection and filtering (aspects of stochastic processes)

40E05: Tauberian theorems

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Cites Work

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• Moment explosions in stochastic volatility models
• Application of Tauberian Theorem to the Exponential Decay of the Tail Probability of a Random Variable
• Normal Variance-Mean Mixtures and z Distributions
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• Financial Modelling with Jump Processes
• Smile Asymptotics II: Models with Known Moment Generating Functions