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Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models
9 references·1 citing·34 second hop
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models (2012)Large deviations and stochastic volatilit…The large-maturity smile for the Heston model (2010)The large-maturity smile for …MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS (2010)MOMENT EXPLOSIONS AND LONG-TE…Asymptotic formulae for implied volatility in the Heston model (2010)Asymptotic formulae for impli…Asymptotics of Implied Volatility far from Maturity (2009)Asymptotics of Implied Volati…Lévy Processes in Finance (2003)Lévy Processes in FinanceAffine processes and applications in finance (2003)Affine processes and applicat…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Small-Maturity Heston Forward Smile (2013)The Small-Maturity Heston For…Derivatives in Financial Markets with Stochastic Volatility (2000)Brownian Motion and Stochastic Calculus (2007)On refined volatility smile expansion in the Heston model (2011)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Arbitrage Theory in Continuous Time (2004)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Hawkes Processes in Finance (2015)Optimum consumption and portfolio rules in a continuous-time model (1971)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Financial Modelling with Jump Processes (2003)Asymptotic Behavior of the Fractional Heston Model (2018)Implied Stochastic Volatility Models (2020)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The Impact of Jumps in Volatility and Returns (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)The Variance Gamma Process and Option Pricing (1998)Asymptotics of Implied Volatility to Arbitrary Order (2011)Implied Volatility Surface: Construction Methodologies and Characteristics (2011)Theory of Rational Option Pricing (1973)The Cross‐Section of Volatility and Expected Returns (2006)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL (2009)The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model (2012)Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (2014)The characteristic function of rough Heston models (2018)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)
this work references cited by second hop

References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 2003Lévy Processes in Finance793 cited
  • 2010MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS128 cited
  • 2010The large-maturity smile for the Heston model78 cited
  • 2009Asymptotics of Implied Volatility far from Maturity63 cited
  • 2010Asymptotic formulae for implied volatility in the Heston model58 cited

Cited by

  • 2013The Small-Maturity Heston Forward Smile26 cited

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