Pages that link to "Item:Q5193002"
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The following pages link to ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY (Q5193002):
Displayed 19 items.
- Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps (Q331361) (← links)
- Analytical approximation of the transition density in a local volatility model (Q432231) (← links)
- Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment (Q457188) (← links)
- Asymptotics of implied volatility to arbitrary order (Q468415) (← links)
- Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations (Q470513) (← links)
- The asymptotic smile of a multiscaling stochastic volatility model (Q681999) (← links)
- Small-time asymptotics for Gaussian self-similar stochastic volatility models (Q781554) (← links)
- Oil futures volatility smiles in 2020: why the Bachelier smile is flatter (Q2165396) (← links)
- A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS (Q2788693) (← links)
- Small time central limit theorems for semimartingales with applications (Q2804007) (← links)
- General Smile Asymptotics with Bounded Maturity (Q2832614) (← links)
- Uniform Bounds for Black--Scholes Implied Volatility (Q2953944) (← links)
- Short Maturity Asian Options in Local Volatility Models (Q2953946) (← links)
- SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL (Q4631699) (← links)
- Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models (Q4682702) (← links)
- THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL (Q4909142) (← links)
- EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE (Q5114683) (← links)
- Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options (Q5233177) (← links)
- EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (Q5283408) (← links)