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Second order multiscale stochastic volatility asymptotics : stochastic terminal layer analysis and calibration
Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Kaushik Ronnie - In: Finance and stochastics 20 (2016) 3, pp. 543-588
Persistent link: https://www.econbiz.de/10011530043
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Asymptotics of implied volatility to arbitrary order
Gao, Kun; Lee, Roger - In: Finance and stochastics 18 (2014) 2, pp. 349-392
Persistent link: https://www.econbiz.de/10010340727
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Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
Figueroa-López, José E.; Ólafsson, Sveinn - In: Finance and stochastics 20 (2016) 1, pp. 219-265
Persistent link: https://www.econbiz.de/10011460382
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Extreme at-the-money skew in a local volatility model
Pigato, Paolo - In: Finance and stochastics 23 (2019) 4, pp. 827-859
Persistent link: https://www.econbiz.de/10012114660
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The exact Taylor formula of the implied volatility
Pagliarani, Stefano; Pascucci, Andrea - In: Finance and stochastics 21 (2017) 3, pp. 661-718
Persistent link: https://www.econbiz.de/10011944416
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A Black–Scholes inequality : applications and generalisations
Tehranchi, Michael R. - In: Finance and stochastics 24 (2020) 1, pp. 1-38
Persistent link: https://www.econbiz.de/10012253338
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Efficient discretization of stochastic integrals
Fukasawa, Masaaki - In: Finance and stochastics 18 (2014) 1, pp. 175-208
Persistent link: https://www.econbiz.de/10010235454