Asymptotics for exponential Lévy processes and their volatility smile: survey and new results (Q4916238)
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scientific article; zbMATH DE number 6156056
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| English | Asymptotics for exponential Lévy processes and their volatility smile: survey and new results |
scientific article; zbMATH DE number 6156056 |
Statements
ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS (English)
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22 April 2013
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exponential Lévy processes
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short-time asymptotics
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long-time asymptotics
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implied volatility
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Lewis-Lipton formula
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0.8079355955123901
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0.8074354529380798
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0.7921578288078308
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0.7820649147033691
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0.7793536186218262
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