Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Jacquier, Antoine & Roome, Patrick, 2016.
"Large-maturity regimes of the Heston forward smile,"
Stochastic Processes and their Applications,
Elsevier, vol. 126(4), pages 1087-1123.
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More about this item
KeywordsStochastic volatility models with jumps; Short-time asymptotic expansions; Transition distributions; Transition density; Option pricing; Implied volatility;
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