Economy – Quantitative Finance – Pricing of Securities
Scientist
Economy
Quantitative Finance
Pricing of Securities
Scientist
Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models
Asymptotic equivalence in Lee's moment formulas for the implied volatility and Piterbarg's conjecture
Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
On refined volatility smile expansion in the Heston model
Two-sided estimates for stock price distribution densities in jump-diffusion models
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