Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models
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Publication:5250042
DOI10.1137/140962255zbMath1336.91075arXiv1403.5302OpenAlexW1996831464MaRDI QIDQ5250042
Josep Vives, Archil Gulisashvili
Publication date: 15 May 2015
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.5302
implied volatilityMellin convolutionHeston model with double exponential jumpsmixed stochastic stock price models
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Cites Work
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