Extreme-strike asymptotics for general Gaussian stochastic volatility models-Reference-Cited by-同舟云学术

Extreme-strike asymptotics for general Gaussian stochastic volatility models

Published:2018-10-01 Issue:1 Volume:15 Page:59-101
ISSN:1614-2446
Container-title:Annals of Finance
language:en
Short-container-title:Ann Finance

Author:

Gulisashvili Archil,Viens Frederi^ORCID,Zhang Xin

Publisher

Springer Science and Business Media LLC

Subject

General Economics, Econometrics and Finance,Finance

Link

http://link.springer.com/content/pdf/10.1007/s10436-018-0338-z.pdf

Reference38 articles.

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3. Alexanderian, A.: A brief note on the Karhunen-Loève expansion, technical note (2015). https://users.ices.utexas.edu/~alen/articles/KL.pdf

4. Benaim, S., Friz, P.K.: Smile asymptotics, II: models with known moment generating function. J Appl Probab 45, 16–32 (2008)

5. Benaim, S., Friz, P.K.: Regular variation and smile asymptotics. Math Finance 19, 1–12 (2009)

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