REGULAR VARIATION AND SMILE ASYMPTOTICS

Author:

Benaim S.,Friz P.

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Reference10 articles.

1. On the Asymptotic Behaviour of Levy Processes. Part I: Subexponential and Exponential Processes;Albin;Stochastic Processes and Their Applications

2. Albin, J. M. P. , and M. Bengtsson (2005): On the Asymptotic Behaviour of Levy Processes. Part II: Superexponential Processes, Preprint.

3. Moment Explosions in Stochastic Volatility Models;Andersen;Finance Stochast.,2007

4. Processes of Normal Inverse Gaussian Type;Barndorff-Nielsen;Finance Stochast.,1998

5. Regular Variation

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