Pages that link to "Item:Q3055866"
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The following pages link to Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes (Q3055866):
Displaying 29 items.
- Asymptotics of implied volatility to arbitrary order (Q468415) (← links)
- The asymptotic smile of a multiscaling stochastic volatility model (Q681999) (← links)
- Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX index (Q2096157) (← links)
- A Black-Scholes inequality: applications and generalisations (Q2282961) (← links)
- Extreme-strike asymptotics for general Gaussian stochastic volatility models (Q2422124) (← links)
- A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS (Q2788693) (← links)
- Generalized Arbitrage-Free SVI Volatility Surfaces (Q2819096) (← links)
- General Smile Asymptotics with Bounded Maturity (Q2832614) (← links)
- ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE (Q2892978) (← links)
- Two-Sided Estimates for Distribution Densities in Models with Jumps (Q2914792) (← links)
- Uniform Bounds for Black--Scholes Implied Volatility (Q2953944) (← links)
- The Impact of Jump Distributions on the Implied Volatility of Variance (Q2962130) (← links)
- FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES (Q2986668) (← links)
- Difference Equation Theory Meets Mathematical Finance (Q3387111) (← links)
- Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula (Q4554443) (← links)
- Implied Volatility of Basket Options at Extreme Strikes (Q4560331) (← links)
- Asymptotic Expansion Approach in Finance (Q4560338) (← links)
- On Small-Noise Equations with Degenerate Limiting System Arising from Volatility Models (Q4560342) (← links)
- Local Volatility, Conditioned Diffusions, and Varadhan's Formula (Q4579844) (← links)
- Shapes of Implied Volatility with Positive Mass at Zero (Q4607048) (← links)
- Mass at zero in the uncorrelated SABR model and implied volatility asymptotics (Q4619519) (← links)
- ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS (Q4916238) (← links)
- EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE (Q5114683) (← links)
- LEFT-WING ASYMPTOTICS OF THE IMPLIED VOLATILITY IN THE PRESENCE OF ATOMS (Q5249756) (← links)
- Asymptotics of Forward Implied Volatility (Q5250047) (← links)
- On refined volatility smile expansion in the Heston model (Q5300441) (← links)
- Large-maturity regimes of the Heston forward smile (Q5965371) (← links)
- The Alpha‐Heston stochastic volatility model (Q6054369) (← links)
- W-shaped implied volatility curves and the Gaussian mixture model (Q6158420) (← links)