Pages that link to "Item:Q3069958"
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The following pages link to MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS (Q3069958):
Displayed 18 items.
- Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions (Q436302) (← links)
- The large-maturity smile for the Heston model (Q484212) (← links)
- Simple examples of pure-jump strict local martingales (Q491181) (← links)
- Affine processes are regular (Q662821) (← links)
- Stability analysis of Riccati differential equations related to affine diffusion processes (Q847047) (← links)
- Asymptotic and exact pricing of options on variance (Q1936829) (← links)
- Exponential moments of affine processes (Q2341630) (← links)
- Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion (Q2798172) (← links)
- Exponential Ergodicity of the Jump-Diffusion CIR Process (Q2801798) (← links)
- THE TERM STRUCTURE OF IMPLIED VOLATILITY IN SYMMETRIC MODELS WITH APPLICATIONS TO HESTON (Q2909510) (← links)
- Two-Sided Estimates for Distribution Densities in Models with Jumps (Q2914792) (← links)
- Asymptotics of Implied Volatility far from Maturity (Q3182423) (← links)
- Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models (Q5250042) (← links)
- Asymptotics of Forward Implied Volatility (Q5250047) (← links)
- On refined volatility smile expansion in the Heston model (Q5300441) (← links)
- Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models (Q5411908) (← links)
- EUROPEAN OPTIONS SENSITIVITY WITH RESPECT TO THE CORRELATION FOR MULTIDIMENSIONAL HESTON MODELS (Q5420695) (← links)
- Large-maturity regimes of the Heston forward smile (Q5965371) (← links)