Option Smile Volatility and Implied Probabilities: Implications of Concavity in IV Curves
, 2023 Darsh Kachhara +2 more
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Analytic solutions of variance swaps for Heston models with stochastic long-run mean of variance and jumps. [PDF]
PLoS OneFu J.
europepmc +1 more source
Expanding emotional capital in court. [PDF]
Front Sociol, 2022 Nordquist CY, Bergman Blix S.
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Distribution Approach to Local Volatility for European Options in the Merton Model with Stochastic Interest Rates. [PDF]
Entropy (Basel)Nowak P, Gatarek D.
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DPS 2.0: on the road to a cashless society. [PDF]
Mark Lett, 2022 Anaza NA +3 more
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The multivariate mixture dynamics: Consistent no-arbitrage single-asset and index volatility smiles [PDF]
, 2017 Damiano Brigo +2 more
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Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles [PDF]
, 2019 Mehdi El Amrani +2 more
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Do your volatility smiles take care of extreme events?
, 2010 Luca Spadafora +2 more
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Generalised Geometric Brownian Motion: Theory and Applications to Option Pricing. [PDF]
Entropy (Basel), 2020 Stojkoski V +4 more
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Risk-Neutrality of RND and Option Pricing within an Entropy Framework. [PDF]
Entropy (Basel), 2020 Yu X.
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