On the Harmonic Mean Representation of the Implied Volatility-Reference-Cited by-同舟云学术

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On the Harmonic Mean Representation of the Implied Volatility

Published:2021-01 Issue:2 Volume:12 Page:551-565
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

De Marco Stefano

Funder

Fondation du Risque

Fondation de l'École Polytechnique

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Link

https://epubs.siam.org/doi/pdf/10.1137/20M1352120

Reference12 articles.

1. On the Curvature of the Smile in Stochastic Volatility Models

2. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

3. Pricing under rough volatility

4. Asymptotics and calibration of local volatility models

Cited by 1 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. A General Moment Formula;SSRN Electronic Journal;2022

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