Refined wing asymptotics for the Merton and Kou jump diffusion models
From MaRDI portal
Publication:5245474
DOI10.4064/bc104-0-4zbMath1312.91087arXiv1401.1954OpenAlexW3124795478MaRDI QIDQ5245474
Johannes F. Morgenbesser, Stefan Gerhold, Axel Zrunek
Publication date: 8 April 2015
Published in: Banach Center Publications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1401.1954
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (2)
General Smile Asymptotics with Bounded Maturity ⋮ Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models
This page was built for publication: Refined wing asymptotics for the Merton and Kou jump diffusion models
