Extreme-strike asymptotics for general Gaussian stochastic volatility models (Q2422124)
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scientific article
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| English | Extreme-strike asymptotics for general Gaussian stochastic volatility models |
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Extreme-strike asymptotics for general Gaussian stochastic volatility models (English)
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18 June 2019
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stochastic volatility
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implied volatility
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large strike
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Karhunen-Loève expansion
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chi-squared variates
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0.8366842269897461
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0.8198198080062866
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0.8128145337104797
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