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SpringerLink电子期刊(2)
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SpringerLink电子期刊
”中,
命中:
2
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2
条
1.
Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
作者:
José E. Figueroa-López
;
Sveinn
Ólafsson
关键词:
Exponential Lévy models
;
Stochastic volatility models
;
Short
;
time asymptotics
;
ATM option pricing
;
Implied volatility
;
60G51
;
60F99
;
91G20
;
C6
刊名:Finance and Stochastics
出版年:2016
2.
Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
作者:
José E. Figueroa-López
;
Sveinn
Ólafsson
关键词:
Exponential Lévy models
;
Stochastic volatility models
;
Short
;
term asymptotics
;
ATM implied volatility slope
;
ATM digital call option prices
刊名:Finance and Stochastics
出版年:2016
1
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2016年(2)
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