1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.PR2009★ 1 cited
Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
A. Gulisashvili
In this paper, we obtain asymptotic formulas with error estimates for the implied volatility associated with a European call pricing function. We show that these formulas imply Lee…
q-fin.PR2009
Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models
A. Gulisashvili, E. M. Stein
We study the asymptotic behavior of distribution densities arising in stock price models with stochastic volatility. The main objects of our interest in the present paper are the d…