Pages that link to "Item:Q261928"
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The following pages link to Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility (Q261928):
Displaying 10 items.
- Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps (Q331361) (← links)
- Nonparametric implied Lévy densities (Q666590) (← links)
- Estimation of tempered stable Lévy models of infinite variation (Q2152238) (← links)
- Testing and inference for fixed times of discontinuity in semimartingales (Q2203627) (← links)
- Nonparametric spot volatility from options (Q2299587) (← links)
- Second-order properties of thresholded realized power variations of FJA additive processes (Q2330961) (← links)
- Bias reduction in spot volatility estimation from options (Q2697974) (← links)
- Asymptotics for Rough Stochastic Volatility Models (Q2962133) (← links)
- Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (Q4607044) (← links)
- Third-order short-time expansions for close-to-the-money option prices under the CGMY model (Q5373916) (← links)
