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Functional analytic (ir-)regularity properties of SABR-type processes
Döring, Leif; Horvath, Blanka Nora; Teichmann, Josef - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-48
Persistent link: https://www.econbiz.de/10011686937
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Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
Gulisashvili, Archil - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-34
Persistent link: https://www.econbiz.de/10009624495
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Left-wing asymptotics of the implied volatility in the presence of atoms
Gulisashvili, Archil - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-25
Persistent link: https://www.econbiz.de/10011403232