Tail asymptotics for diffusion processes, with applications to local volatility and CEV-Heston models
arXiv:math/0608634
Abstract
This paper has been withdrawn
This paper has been withdrawn
References in corpus (3)
Cited by in corpus (3)
- Small-time asymptotics for fast mean-reverting stochastic volatility models
- Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions
- Asymptotic equivalence in Lee's moment formulas for the implied volatility and Piterbarg's conjecture