The small-maturity smile for exponential Levy models
Download full text from publisher
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
- Jos'e E. Figueroa-L'opez & Yankeng Luo & Cheng Ouyang, 2011. "Small-time expansions for local jump-diffusion models with infinite jump activity," Papers 1108.3386, arXiv.org, revised Jul 2014.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-30 (All new papers)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1105.3180. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .
We have no references for this item. You can help adding them by using this form .