Crossref Citations
This article has been cited by the following publications. This list is generated based on data provided by
Crossref.
Jacquier, Antoine
and
Roome, Patrick
2012.
Asymptotics of Forward Implied Volatility.
SSRN Electronic Journal,
Gulisashvili, Archil
2012.
Analytically Tractable Stochastic Stock Price Models.
p.
273.
Forde, Martin
Jacquier, Antoine
and
Lee, Roger
2012.
The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model.
SIAM Journal on Financial Mathematics,
Vol. 3,
Issue. 1,
p.
690.
Jacquier, Antoine
and
Roome, Patrick
2013.
The Small-Maturity Heston Forward Smile.
SIAM Journal on Financial Mathematics,
Vol. 4,
Issue. 1,
p.
831.
Jacquier, Antoine
and
Roome, Patrick
2013.
The Small-Maturity Heston Forward Smile.
SSRN Electronic Journal,
Keller-Ressel, Martin
and
Muhle-Karbe, Johannes
2013.
Asymptotic and exact pricing of options on variance.
Finance and Stochastics,
Vol. 17,
Issue. 1,
p.
107.
Andersen, Torben G.
Bondarenko, Oleg
Todorov, Viktor
and
Tauchen, George
2013.
The Fine Structure of Equity-Index Option Dynamics.
SSRN Electronic Journal,
Kallsen, Jan
Muhle-Karbe, Johannes
and
Vierthauer, Richard
2014.
Asymptotic power utility-based pricing and hedging.
Mathematics and Financial Economics,
Vol. 8,
Issue. 1,
p.
1.
Jacquier, Antoine
and
Roome, Patrick
2014.
Large-Maturity Regimes of the Heston Forward Smile.
SSRN Electronic Journal,
Figueroa-López, José E.
Luo, Yankeng
and
Ouyang, Cheng
2014.
Small-time expansions for local jump-diffusion models with infinite jump activity.
Bernoulli,
Vol. 20,
Issue. 3,
Zhu, Lingjiong
2015.
Options with Extreme Strikes.
Risks,
Vol. 3,
Issue. 3,
p.
234.
Jacquier, Antoine
and
Roome, Patrick
2015.
Asymptotics of Forward Implied Volatility.
SIAM Journal on Financial Mathematics,
Vol. 6,
Issue. 1,
p.
307.
Andersen, Torben G.
Bondarenko, Oleg
Todorov, Viktor
and
Tauchen, George
2015.
The fine structure of equity-index option dynamics.
Journal of Econometrics,
Vol. 187,
Issue. 2,
p.
532.
Zhu, Lingjiong
2015.
Short maturity options for Azéma–Yor martingales.
International Journal of Financial Engineering,
Vol. 02,
Issue. 04,
p.
1550052.
Figueroa‐López, José E.
Gong, Ruoting
and
Houdré, Christian
2016.
HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS.
Mathematical Finance,
Vol. 26,
Issue. 3,
p.
516.
Friz, Peter K.
2016.
Option Pricing in the Moderate Deviations Regime.
SSRN Electronic Journal,
Mijatović, Aleksandar
and
Tankov, Peter
2016.
A NEW LOOK AT SHORT‐TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS.
Mathematical Finance,
Vol. 26,
Issue. 1,
p.
149.
Figueroa-López, José E.
and
Ólafsson, Sveinn
2016.
Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility.
Finance and Stochastics,
Vol. 20,
Issue. 1,
p.
219.
Pirjol, Dan
and
Zhu, Lingjiong
2016.
Short Maturity Asian Options in Local Volatility Models.
SIAM Journal on Financial Mathematics,
Vol. 7,
Issue. 1,
p.
947.
Livieri, Giulia
Mouti, Saad
Pallavicini, Andrea
and
Rosenbaum, Mathieu
2017.
Rough Volatility: Evidence from Option Prices.
SSRN Electronic Journal ,