3 papers
q-fin.PR2016
Moment explosions, implied volatility and local volatility at extreme strikes
Sidi Mohamed Aly
We consider a stochastic volatility model where the moment generating function of the logarithmic price is finite only on part of the real line. Using a new Tauberian result obtain…
math.PR2016
On The Distribution Tail Of Stochastic Differential Equations: The One-Dimensional Case
Sidi Mohamed Aly
This paper considers a general one-dimensional stochastic differential equation (SDE). A particular attention is given to the SDEs that may be transformed (via Ito's formula) into:…
math.PR2012
From moment explosion to the asymptotic behavior of the cumulative distribution for a random variable
Sidi Mohamed Aly
We study the Tauberian relations between the moment generating function (MGF) and the complementary cumulative distribution function of a random variable whose MGF is finite only o…