二足动物
发表于 2025-3-21 18:59:23
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SENT
发表于 2025-3-21 23:50:05
Advances in Intelligent and Soft Computingo provides a characterization of implied volatility models free of static arbitrage, and discusses certain symmetries hidden in stochastic asset price models. These symmetries can be used to analyze the asymptotic behavior of the implied volatility at small strikes knowing how the volatility behaves at large strikes.
GEN
发表于 2025-3-22 02:08:01
Volatility Processes,process, they are Gaussian, while for a CIR-process, they coincide with noncentral chi-square distributions. The chapter also includes the proof of the Pittman-Yor theorem. This theorem concerns certain exponential functionals of squared Bessel processes.
Conserve
发表于 2025-3-22 07:23:57
Asymptotic Analysis of Implied Volatility,o provides a characterization of implied volatility models free of static arbitrage, and discusses certain symmetries hidden in stochastic asset price models. These symmetries can be used to analyze the asymptotic behavior of the implied volatility at small strikes knowing how the volatility behaves at large strikes.
大约冬季
发表于 2025-3-22 09:29:12
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破裂
发表于 2025-3-22 13:04:04
Book 2012ility models, that have been developed as an answer to certain imperfections in a celebrated Black-Scholes model of option pricing. In a stock price model with stochastic volatility, the random behavior of the volatility is described by a stochastic process. For instance, in the Hull-White model the
得罪人
发表于 2025-3-22 17:02:49
Distributed Computing - IWDC 2003 of the volatility, the variance, the integrated volatility, and the integrated variance. This chapter provides various representations of the stock price density in stochastic volatility models as special integral transforms of mixing distributions.
Prophylaxis
发表于 2025-3-22 21:30:26
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seruting
发表于 2025-3-23 03:48:20
Sigeru Omatu,Mitsuaki Yano,Toru Fujinakan the asymptotic formulas for the stock price densities established in Chap. .. Weak Pareto type functions will reappear in Sect. ., devoted to the asymptotic equivalence in R. Lee’s moment formulas for the implied volatility.
过剩
发表于 2025-3-23 09:26:48
Virtual Organisations Dissolution, of Chap. 10 include a result of E. Renault and N. Touzi concerning the existence of volatility smile in uncorrelated stochastic volatility models. The chapter also discusses the SVI parameterization of the implied variance introduced by J. Gatheral.