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On the Curvature of the Smile in Stochastic Volatility Models

  • Published:2017-01 Issue:1 Volume:8 Page:373-399
  • ISSN:1945-497X
  • Container-title:SIAM Journal on Financial Mathematics
  • language:en
  • Short-container-title:SIAM J. Finan. Math.

Author:

Alòs Elisa,León Jorge A.

Funder

Ministerio de Economía y Competitividad

Consejo Nacional de Ciencia y Tecnología

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Cited by 9 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Option Pricing in Sandwiched Volterra Volatility Model;SIAM Journal on Financial Mathematics;2024-09-09

2. On the Implied Volatility of Asian Options Under Stochastic Volatility Models;Applied Mathematical Finance;2023-09-03

3. Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models;Applied Mathematical Finance;2023-05-04

4. On the Skew and Curvature of the Implied and Local Volatilities;Applied Mathematical Finance;2023-01-02

5. On Smile Properties of Volatility Derivatives: Understanding the VIX Skew;SIAM Journal on Financial Mathematics;2022-01-10
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