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A new look at short-term implied volatility in asset price models with jumps
exponential Levy models Blumenthal-Getoor index short-dated options implied volatility.
2012/9/14
We analyse the behaviour of the implied volatility smile for options close to expiry in the exponential Levy class of asset price models with jumps. We introduce a new renormalisation of the strike v...
A simple model for asset price bubble formation and collapse
simple model asset price bubble formation and collapse
2010/10/21
We consider a simple stochastic differential equation for modeling bubbles in social context. A prime example is bubbles in asset pricing, but similar mechanisms may control a range of social phenome...
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models
Probabilistic representations asset price linear stochastic volatility models
2010/11/2
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models。