Wyniki wyszukiwania

Sortuj według:

Ogranicz wyniki do:

The sum of digits of $⌊n^c⌋$

100%

Morgenbesser J.

Acta Arithmetica

2011

tom 148

nr 4

367-393

Refined wing asymptotics for the Merton and Kou jump diffusion models

51%

Gerhold S., Morgenbesser J., Zrunek A.

Banach Center Publications

2015

tom 104

nr 1

85-94

Refining previously known estimates, we give large-strike asymptotics for the implied volatility of Merton's and Kou's jump diffusion models. They are deduced from call price approximations by transfer results of Gao and Lee. For the Merton model, we also analyse the density of the underlying and show that it features an interesting "almost power law" tail.

Ograniczanie wyników

1 Acta Arithmetica

1 Banach Center Publications

2 Morgenbesser J.

1 Gerhold S.

1 Zrunek A.

1 2015

1 2011

Wyniki wyszukiwania

The sum of digits of $⌊n^c⌋$

Refined wing asymptotics for the Merton and Kou jump diffusion models