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Asymptotic equivalence in Lee's moment formulas for the implied volatility and Piterbarg's conjecture
Call and put pricing functions Implied volatility Lee’s moment formula
2010/10/21
The asymptotic behavior of the implied volatility associated with a general call pricing function has been extensively studied in the last decade. The main topics discussed in this paper are Lee's mom...
A proof of a conjecture in the Cramér-Lundberg model with investments
Cramer-Lundberg model ruin probabilit
2010/4/27
In this paper, we discuss the Cram\'er-Lundberg model with investments, where the price of the invested risk asset follows a geometric Brownian motion with drift $a$ and volatility $\sigma> 0.$ By ass...
A proof of a conjecture in the Cramér-Lundberg model with investments
conjecture Cramér-Lundberg model investments
2010/10/19
In this paper, we discuss the Cram\'er-Lundberg model with investments, where the price of the invested risk asset follows a geometric Brownian motion with drift $a$ and volatility $\sigma> 0.$ By as...