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Asymptotics For Exponential Lévy Processes And Their Volatility Smile: Survey And New Results

Citations

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Cited by:

  1. Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu, 2021. "Closed-form implied volatility surfaces for stochastic volatility models with jumps," Journal of Econometrics, Elsevier, vol. 222(1), pages 364-392.
  2. Michele Azzone & Roberto Baviera, 2024. "Short-time implied volatility of additive normal tempered stable processes," Annals of Operations Research, Springer, vol. 336(1), pages 93-126, May.
  3. Alexander Lipton, 2020. "Old Problems, Classical Methods, New Solutions," Papers 2003.06903, arXiv.org.
  4. 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.
  5. Jos'e E. Figueroa-L'opez & Sveinn 'Olafsson, 2014. "Short-time expansions for close-to-the-money options under a L\'evy jump model with stochastic volatility," Papers 1404.0601, arXiv.org, revised Oct 2014.
  6. Archil Gulisashvili & Josep Vives, 2014. "Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models," Papers 1403.5302, arXiv.org.
  7. Michele Azzone & Roberto Baviera, 2021. "Short-time implied volatility of additive normal tempered stable processes," Papers 2108.02447, arXiv.org.
  8. Jorge González Cázares & Aleksandar Mijatović, 2022. "Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation," Finance and Stochastics, Springer, vol. 26(4), pages 671-732, October.
  9. Ma, Chunsheng, 2023. "Multivariate exponential power Lévy processes and random fields," Statistics & Probability Letters, Elsevier, vol. 197(C).
  10. Dan Pirjol & Lingjiong Zhu, 2016. "Short Maturity Asian Options in Local Volatility Models," Papers 1609.07559, arXiv.org.
  11. Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models," Papers 2312.03915, arXiv.org.
  12. Philipp Mayer & Natalie Packham & Wolfgang Schmidt, 2015. "Static hedging under maturity mismatch," Finance and Stochastics, Springer, vol. 19(3), pages 509-539, July.
  13. Dan Pirjol & Lingjiong Zhu, 2017. "Short Maturity Asian Options for the CEV Model," Papers 1702.03382, arXiv.org.
  14. Archil Gulisashvili & Peter Tankov, 2014. "Implied volatility of basket options at extreme strikes," Papers 1406.0394, arXiv.org.
  15. Svetlana Boyarchenko & Sergei Levendorskiĭ, 2025. "Efficient evaluation of expectations of functions of a Lévy process and its extremum," Finance and Stochastics, Springer, vol. 29(2), pages 443-468, April.
  16. Jorge Ignacio Gonz'alez C'azares & Aleksandar Mijatovi'c, 2021. "Monte Carlo algorithm for the extrema of tempered stable processes," Papers 2103.15310, arXiv.org, revised Dec 2022.
  17. Stefan Gerhold & I. Cetin Gulum & Arpad Pinter, 2013. "Small-maturity asymptotics for the at-the-money implied volatility slope in L\'evy models," Papers 1310.3061, arXiv.org, revised May 2016.
  18. José E. Figueroa-López & Sveinn Ólafsson, 2016. "Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility," Finance and Stochastics, Springer, vol. 20(1), pages 219-265, January.
  19. José Figueroa-López & Sveinn Ólafsson, 2016. "Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility," Finance and Stochastics, Springer, vol. 20(1), pages 219-265, January.
  20. George Bouzianis & Lane P. Hughston, 2019. "Determination Of The Lévy Exponent In Asset Pricing Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-18, February.
  21. Jos'e E. Figueroa-L'opez & Sveinn 'Olafsson, 2015. "Short-time asymptotics for the implied volatility skew under a stochastic volatility model with L\'evy jumps," Papers 1502.02595, arXiv.org, revised Dec 2015.
  22. Caravenna, Francesco & Corbetta, Jacopo, 2018. "The asymptotic smile of a multiscaling stochastic volatility model," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 1034-1071.
  23. Lingjiong Zhu, 2015. "Short maturity options for Azéma–Yor martingales," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-32, December.
  24. Jorge Gonz'alez C'azares & Aleksandar Mijatovi'c, 2020. "Simulation of the drawdown and its duration in L\'{e}vy models via stick-breaking Gaussian approximation," Papers 2011.06618, arXiv.org, revised Mar 2021.
  25. José E. Figueroa-López & Sveinn Ólafsson, 2016. "Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps," Finance and Stochastics, Springer, vol. 20(4), pages 973-1020, October.
  26. Michael R. Tehranchi, 2015. "Uniform bounds for Black--Scholes implied volatility," Papers 1512.06812, arXiv.org, revised Aug 2016.
  27. Antoine Jacquier & Patrick Roome, 2013. "The Small-Maturity Heston Forward Smile," Papers 1303.4268, arXiv.org, revised Aug 2013.
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