Pages that link to "Item:Q3516426"

The following pages link to Convergence of At-The-Money Implied Volatilities to the Spot Volatility (Q3516426):

Displaying 17 items.

• Arbitrage-free market models for option prices: the multi-strike case (Q2271718) (← links)
• Local volatility dynamic models (Q2271723) (← links)
• Can the implied volatility surface move by parallel shifts? (Q2430258) (← links)
• Closed-form implied volatility surfaces for stochastic volatility models with jumps (Q2658792) (← links)
• Bias reduction in spot volatility estimation from options (Q2697974) (← links)
• Stochastic volatility for interest rate derivatives (Q2879042) (← links)
• Short Maturity Asian Options in Local Volatility Models (Q2953946) (← links)
• Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion (Q2962132) (← links)
• Small-Time Asymptotics of Option Prices and First Absolute Moments (Q3108470) (← links)
• Convergence of At-The-Money Implied Volatilities to the Spot Volatility (Q3516426) (← links)
• ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS (Q4916238) (← links)
• On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation (Q5001108) (← links)
• The implied volatility of Forward-Start options: ATM short-time level, skew and curvature (Q5086415) (← links)
• On the Curvature of the Smile in Stochastic Volatility Models (Q5280242) (← links)
• On the Uniqueness of Martingales with Certain Prescribed Marginals (Q5299578) (← links)
• Nonparametric estimation for stochastic volatility models (Q5971188) (← links)
• MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES (Q6095476) (← links)