Pages that link to "Item:Q3055866"

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)