Narrow search
Showing 1 - 10 of 17
Cover Image
Asymptotics for exponential Lévy processes and their volatility smile : survey and new results
Andersen, Leif B. G.; Lipton, Alexander - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-98
Persistent link: https://www.econbiz.de/10009725096
Cover Image
The term structure of implied volatility in symmetric models with applications to Heston
De Marco, Stefano; Martini, Claude - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10009624467
Cover Image
Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
Gulisashvili, Archil - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-34
Persistent link: https://www.econbiz.de/10009624495
Cover Image
Reduced-order models for the implied variance under local volatility
Sachs, Ekkehard; Schneider, Marina - In: International journal of theoretical and applied finance 17 (2014) 8, pp. 1-23
Persistent link: https://www.econbiz.de/10010498793
Cover Image
Exact pricing and large-time asymptotics for the modified SABR model and the Brownian exponential functional
Forde, Martin - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 559-578
Persistent link: https://www.econbiz.de/10009269355
Cover Image
Conditional density models for asset pricing
Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10009562159
Cover Image
Left-wing asymptotics of the implied volatility in the presence of atoms
Gulisashvili, Archil - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-25
Persistent link: https://www.econbiz.de/10011403232
Cover Image
Short-time implied volatility in exponential Lévy models
Ekström, Erik; Lu, Bing - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-14
Persistent link: https://www.econbiz.de/10011403775
Cover Image
Time-changed fast mean-reverting stochastic volatility models
Lorig, Matthew - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1355-1383
Persistent link: https://www.econbiz.de/10009541992
Cover Image
The heat-kernel most-likely-path approximation
Gatheral, Jim; Wang, Tai-Ho - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10009541999