Pages that link to "Item:Q5459905"
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The following pages link to Smile Asymptotics II: Models with Known Moment Generating Functions (Q5459905):
Displayed 28 items.
- Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions (Q436302) (← links)
- Asymptotics of implied volatility to arbitrary order (Q468415) (← links)
- Integrated density of states of the Anderson Hamiltonian with two-dimensional white noise (Q2080273) (← links)
- Large deviations for the boundary local time of doubly reflected Brownian motion (Q2339560) (← links)
- Extreme-strike asymptotics for general Gaussian stochastic volatility models (Q2422124) (← links)
- Tauberian Korevaar (Q2684664) (← links)
- On the law of terminal value of additive martingales in a remarkable branching stable process (Q2689903) (← 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)
- Uniform Bounds for Black--Scholes Implied Volatility (Q2953944) (← links)
- The Impact of Jump Distributions on the Implied Volatility of Variance (Q2962130) (← links)
- Asymptotic formulae for implied volatility in the Heston model (Q2997309) (← links)
- Implied Volatility of Basket Options at Extreme Strikes (Q4560331) (← links)
- Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options (Q4579824) (← links)
- Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models (Q4682702) (← 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)
- From Moment Explosion to the Asymptotic Behavior of the Cumulative Distribution for a Random Variable (Q5369323) (← links)
- Smile Asymptotics II: Models with Known Moment Generating Functions (Q5459905) (← links)
- The Randomized Heston Model (Q5742496) (← links)
- Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications (Q5746487) (← links)
- Large-maturity regimes of the Heston forward smile (Q5965371) (← links)
- Perturbation analysis of sub/super hedging problems (Q6054380) (← links)
- On Properties of the MixedTS Distribution and Its Multivariate Extension (Q6086599) (← links)
- The log‐moment formula for implied volatility (Q6187368) (← links)