Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models-Reference-Cited by-同舟云学术

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Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models

Published:2012-09-13 Issue:2 Volume:85 Page:321-345
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Jacquier Antoine¹,Keller-Ressel Martin²,Mijatović Aleksandar³

Affiliation:

1. a Department of Mathematics , Imperial College London , London , UK

2. b Institut für Mathematik – Technische Universität Berlin , Berlin , Germany

3. c Department of Mathematics , Imperial College London , 180 Queen's Gate, South Kensington, London , SW7 2AZ , UK

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442508.2012.720687

Reference14 articles.

1. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics

2. Post-'87 crash fears in the S&P 500 futures option market

3. Large Deviations Techniques and Applications

4. Affine processes and applications in finance

5. The large-maturity smile for the Heston model

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