Pages that link to "Item:Q4682702"

The following pages link to Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models (Q4682702):

Displayed 8 items.

• Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps (Q331361) ‎ (← links)
• Small-maturity digital options in Lévy models: an analytic approach (Q493621) ‎ (← links)
• The value of power-related options under spectrally negative Lévy processes (Q2047039) ‎ (← links)
• Extreme at-the-money skew in a local volatility model (Q2274223) ‎ (← links)
• SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW (Q4634637) ‎ (← links)
• Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime (Q5014187) ‎ (← links)
• Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model (Q5093724) ‎ (← links)
• Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure (Q5144187) ‎ (← links)